JP Morgan’s stock price is currently $100. Over the next year it is expected to go up by 20% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. The expected rate of return on JP Morgan is 15% per annum with continuous compounding. What is the expected rate of return on a one-year European call option with a strike price of $100?

Answer rating: 100% (QA)

answer The information about the current stock price 100 and the riskfree interest rate 8 is not rel... View the full answer