Question: Question You are given the following information about a gap call option on a nondividend paying stock: i) The strike price is 90 ii) The

Question You are given the following information about a gap call

Question You are given the following information about a gap call option on a nondividend paying stock: i) The strike price is 90 ii) The trigger price is 100 iii) The time to maturity is six months iv) The current stock price is 85 V) The stock's volatility is 30% vi) The continuously compounded risk-free interest rate is 6%. Use the Black-Scholes model for gap options to determine the price of the call. Possible Answers A Less than 4 B At least 4 but less than 5 C At least 5 but less than 6 D At least 6 but less than 7 E At least 7

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