Question: You are given the following information about two options, A and B: i) Option A is a one-year European put with exercise price 45. ii)

You are given the following information about two options, A and B: i) Option A is a one-year European put with exercise price 45. ii) Option B is a one-year American call with exercise price 55. iii) Both options are based on the same underlying asset, a stock that pays no dividends. iv) Both options go into effect at the same time and expire at t = 1. You are also given the following information about the stock price: i) The initial stock price is 50. ii) The stock price at expiration is also 50. iii) The minimum stock price (from t = 0 to t = 1) is 46. iv) The maximum stock price (from t = 0 to t = 1) is 58. Determine which of the following statements is true. (A) Both options A and B are at-the-money at expiration. (B) Both options A and B are "in-the-money at expiration. (C) Both options A and B are "out-of-the-money throughout each option's term. (D) Only option A is ever "in-the-money at some time during its term. (E) Only option B is ever in-the-money at some time during its term
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