Question
We now consider an American call option written on the S&P 500 with 6-month to maturity. If the call has a strike price of $3879.09,
We now consider an American call option written on the S&P 500 with 6-month to maturity. If the call has a strike price of $3879.09, the price of the S&P 500 today is $3971.27, and two dividends of $30 and $40 are paid in 2 months and 4 months from now. What is your best estimate of the price of the American call?
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International Finance Discussion Papers Managing Beliefs About Monetary Policy Under Discretion
Authors: United States Federal Reserve Board, Elmar Mertens
1st Edition
1288704577, 9781288704576
