Eugene Holds a Collect-On-Delivery Call with S = $36

question 16

Multiple Choice

Eugene holds a collect-on-delivery call with S = $36.50,K = $35,σ = 0.22,r = 0.04,div = 0 and 270 days until expiration.What is the value of the European COD call?

• A) $5.90
• B) $6.90
• C) $7.90
• D) $8.90

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