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 p...

Option Price Intrinsic value Time value of the option We know that a put option i ...

Of the following options, which would you expect to have the highest option price? a. A European

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 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 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 is $100. The standard deviation of the stock price over the past five years has been 15 percent.

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.