10. A stock is selling today for $110. The stock has an annual volatility of 64 percent...
Fantastic news! We've Found the answer you've been seeking!
Question:
10. A stock is selling today for $110. The stock has an annual volatility of 64 percent and the
annual risk-free rate is 7 percent.
a. Calculate the fair price for a 1-year European call option with an exercise price of $95.
b. Calculate how much the current stock price would need to change for the purchaser of
the call option to break even in one year.
c. Calculate the fair price for a 1 year European put option with an exercise price of $95.
Posted Date: