At expiration 3 months later the asset price is 5675 all

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An investor purchases a call option with an exercise price of $55 for $2.60. The same investor sells a call on the same asset with an exercise price of $60 for $1.40. At expiration, 3 months later, the asset price is $56.75. All other things being equal and given a continuously compouned annual interest rate of 4.0%, what is the net profit or loss to the investor?

(a) $1.21 loss

(b) $1.50 loss

(c) $0.54 gain

(d) $1.65 gain

(e) None of the above.

Reference no: EM13574213

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