A call option matures in nine months. The underlying stock price is $95, and the stock's...
A call option matures in nine months. The underlying stock price is $95, and the stock's return has a standard deviation of 19 percent per year. The risk-free rate is 3 percent per year, compounded continuously. The exercise price is $0. What is the price of the call option?
a. 15.97
b. 52.14
c. 56.37
d. 92.23
Homework Answers
At exercise price of 0, call price becomes equal to present value of strike price=95*e^(-3%*9/12)=92.23
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