Question

Of the following options, which would you expect to have the highest option price?
a. A European three-month put option on a stock whose market price is $90 where the strike price is $100. The standard deviation of the stock price over the past five years has been 15 percent.
b. A European three-month put option on a stock whose market price is $110 where the strike price is $100. The standard deviation of the stock price over the past five years has been 15 percent.
c. A European one-month put option on a stock whose market price is $90 where the strike price is $100. The standard deviation of the stock price over the past five years has been 15 percent.



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  • CreatedOctober 02, 2014
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