Suppose that top executives of XYZ are told they will receive at-the-money call options on 10,000 shares

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Suppose that top executives of XYZ are told they will receive at-the-money call options on 10,000 shares each year for the next 3 years. When granted, the options have 5 years to maturity. XYZ’s stock price is $100, volatility is 30%, and r = 8%. Estimate the value of this promise.
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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