A Call Option Matures in Six Months

question 3

Multiple Choice

A call option matures in six months. The underlying stock price is $37 and the stock's return has a standard deviation of 27 percent per year. The annual risk-free rate is 3.4 percent, compounded continuously. The exercise price is $0. What is the price of the call option?

• A) $39.65
• B) $32.14
• C) $36.37
• D) $32.23
• E) $37.00

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