When the Non-Dividend Paying Stock Price Is $20,the Strike Price

question 15

Multiple Choice

When the non-dividend paying stock price is $20,the strike price is $20,the risk-free rate is 6%,the volatility is 20% and the time to maturity is 3 months which of the following is the price of a European call option on the stock

• A) 20N(0.1)-19.7N(0.2)
• B) 20N(0.2)-19.7N(0.1)
• C) 19.7N(0.2)-20N(0.1)
• D) 19.7N(0.1)-20N(0.2)

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