When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 6% per year with continuous compounding, the volatility is 30% and the time to maturity is 3 months which of the following is the price of a European call option on the stock? 19.7N(0.175)-20N(0.025) 19.7N(0.025)-20N(0.175) 20N(0.175)-19.7N(0.025) 20N(0.025)-19.7N(0.175)
When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 6% per year with continuous compounding, the volatility is 30% and the time to maturity is 3 months which of the following is the price of a European call option on the stock? 19.7N(0.175)-20N(0.025) 19.7N(0.025)-20N(0.175) 20N(0.175)-19.7N(0.025) 20N(0.025)-19.7N(0.175)
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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Transcribed Image Text:When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 6%
per year with continuous compounding, the volatility is 30% and the time to maturity is 3 months
which of the following is the price of a European call option on the stock?
19.7N(0.175)-20N (0.025)
19.7N(0.025)-20N (0.175)
20N(0.175)-19.7N(0.025)
O 20N(0.025)-19.7N(0.175)
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