Suppose that Bigco is currently trading for $100 per share. The stock has an annual volatility of

Question:

Suppose that Bigco is currently trading for $100 per share. The stock has an annual volatility of 90 percent and does not pay any dividends. The riskless interest rate is 5 percent.
(a) What is the value of a European call option with a of $100 and expiration in 10 years?
(b) What is the value of a RE call option with a of $100 and an expected holding period of 10 years?

Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity.