What is the value of a call option on this stock

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Reference no: EM132058724

Use the following information for 1 –4. Consider a stock currently trading at $81. You are looking at European options traded on this stock with a strike price of $90 and 60 days to expiration. The underlying stock volatility is 50%, and the continuously compounded risk free rate is 3%.

1. What is the value of a call option on this stock?

2. What is the value of a put option on this stock?

3. What happens to the call option price if the stock price increases to $82?

4. What is the put option delta?

Reference no: EM132058724

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