+1-415-670-9189
info@expertsmind.com
What is the value of a one-month european call
Course:- Business Economics
Reference No.:- EM132281371




Assignment Help
Expertsmind Rated 4.9 / 5 based on 47215 reviews.
Review Site
Assignment Help >> Business Economics

A stock price is currently $40. It is known that at the end of one month that the stock price will either increase or decrease by 9%. The risk-free interest rate is 9% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $39?

*Equations you may find helpful:

p = (e^(rΔt)-d) / (u-d)

f = e^(-rΔt) * (fu*p + fd*(1-p))

(required precision 0.01 +/- 0.01)




Put your comment
 
Minimize


Ask Question & Get Answers from Experts
Browse some more (Business Economics) Materials
Recently, the owner of a Trader Joe’s franchise decided to change how she compensated her top manager. Last year, she paid him a fixed salary of $70,000 and her store made $14
A manufacture has been selling 1200 television sets a week at $540 each. A market survey indicates that for each $26 rebate offered to a buyer, the number of sets sold will in
ACNE Corporation currently has a 20% market share in a $15 billion industry (measured by sales revenue). EMCA Corporation currently has a 17% market share in that same industr
What are expectations, and why are they important in macroeconomic models? What would you think about a macroeconomic model that assumed that people’s expectations of inflatio
Below are the list of 12 key terms provided. Create a presentation slide(s) or graphic with a description – including a real world example – that could be used to describe the
A price discriminating firm will charge the lowest price when the price elasticity of demand is. Which of the following industries is most likely to represent the monopolistic
Teak Furniture Co. is considering a new three-year expansion project that requires an initial fixed asset investment of $2,640,000. The fixed asset will be depreciated straigh
Stone Age Surfboards is a small manufacturer of two types of popular low-tide surfboards, the Gray stone and the Lava models. The manufacturing process consists of two departm