Consider european call option on non-dividend-paying stock

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Reference no: EM131817720

Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is 6 months.

(1) Verify that DerivaGem gives the same answer.

(2) Use DerivaGem to value the option with 5, 50, 100, and 500 time steps.

Reference no: EM131817720

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