Determining the price of the call option, Macroeconomics

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Determining the price of the call option

For a call option on a non-dividend paying stock, the strike price is $29, the stock price is $30, the risk-free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 3 months. What is the price of the call option?

a. $2.02

b. $2.35

c. $2.67

d. $2.89

e. None of the above.

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Macroeconomics: Determining the price of the call option

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Macroeconomics: Determining the price of the call option

Reference No:- TGS069377

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Macroeconomics: Determining the price of the call option

Reference No:- TGS069377

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