A share is currently trading at $100. At the end of each day for the next 60 days, it will change by going up 1% or going down by 1%. Calculate the value of a 60-day European call option with exercise price $100. The risk-free interest rate is 6% p.a. with continuous compounding.

 

Answer rating: 100% (QA)

To calculate the value of a 60day European call option with an exercise price of 100 we can use the ... View the full answer