Value of interest rate call option at maturity of loan

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Reference no: EM13880568

Determine the value of an interest rate call option at the maturity of a loan if the call has a strike of 12 percent, a face value of $50 million, the loan matures 90 days after the call is exercised, the call expires in 60 days, the call premium is $200,000, and LIBOR ends up at 13 percent.

1. $125,000

2. $83,333

3. $208,000

4. -$75,000

5. none of the above

Reference no: EM13880568

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