Using the information given above regarding the $66 spot and $68 strike price, risk free rate of return and the fact that the volatility of the share price is 18 , answer following questions What is the price of an eight month European call 1 mark What is the price of an eight month American call 1 mark What is the price of an eight month European put 1 mark How would your result from k change if a dividend of $1 is expected in three months How would your result from k change if a dividend of $1 is expected in ten months 2 marks

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Question: Using the information given above regarding the $66 spot and $68 strike price, risk-free rate of return and the fact that the volatility of the

Using the information given above regarding the $66 spot and $68 strike price, risk-free rate of return and the fact that the volatility of the share price is 18%, answer following questions:

What is the price of an eight-month European call? [1 mark]
What is the price of an eight-month American call? [1 mark]
What is the price of an eight-month European put? [1 mark]
How would your result from k. change if a dividend of $1 is expected in three months? How would your result from k. change if a dividend of $1 is expected in ten months? [2 marks]

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