Calculate the Price of a Two-Month European Call Option Given

question 34

Multiple Choice

Calculate the price of a two-month European call option given the following information: the exercise price is $19,the current share price is $20 and the risk-free interest rate is 15% p.a.Furthermore,the share price may go up by 15 per cent or down by 15 per cent at the end of each month.Assume a risk-neutral world and time periods of one month each.

• A)$2.40
• B)$1.79
• C)$2.43
• D)$1.82

---

Definitions:

Transmitters

Devices that generate and emit radio waves or signals to be received by a receiver at a different location.

Receivers

Devices or individuals that receive and interpret signals or information transmitted from a source.

BOTS Act

U.S. legislation aimed at combating bulk purchasing and automated scalping of tickets online.

Suspicious Activity

Unusual or questionable actions that may indicate a potential threat or criminal act.