The Current Price of a Non-Dividend-Paying Stock Is $30

question 9

Multiple Choice

The current price of a non-dividend-paying stock is $30.Over the next six months it is expected to rise to $36 or fall to $26.Assume the risk-free rate is zero.An investor sells call options with a strike price of $32.What is the value of each call option?

• A) $1.6
• B) $2.0
• C) $2.4
• D) $3.0

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