Call options with a strike price of $80.00 and an expiration of two months were written when the underlying stock was trading at $82.19. Over the following month, the underlying stock volatility was 32.11% even though the implied volatility remained constant at 46.59%. The continuously compounded risk free rate is 3.00%. The options currently have one month until expiration and the underyling stock is now trading at $ 87.95. What is the option's current market price? Report your answer without a dollar sign to four decimal places.

Call options with a strike price of $80.00 and an expiration of two months were written when the underlying stock was trading at $82.19. Over the following month, the underlying stock volatility was 32.11% even though the implied volatility remained constant at 46.59%. The continuously compounded risk free rate is 3.00%. The options currently have one month until expiration and the underyling stock is now trading at $ 87.95. What is the option's current market price? Report your answer without a dollar sign to four decimal places.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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