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Consider a stock priced at $30 with a standard deviation of 0.3. The risk-free rate is 0.05. There are put and call options available at exercise prices of 30 and a time to expiration of six months. The calls are priced at $2.89 and the puts cost $2.15. There are no dividends on the stock and the options are European. Assume that all transactions consist of 100 shares or one contract (100 options).
(**Please post full work for both questions, I am seeing different answers online for both - I thought (5) was $11 and (6) was $289
Suppose the buyer of the call in problem 1 sold the call two months before expiration when the stock price was $33. How much profit would the buyer make?
a. $32.89 b. $30.11 c. $78.00 d. $11.00 e. none of the above
Sagot :
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