A Stock Is Currently Selling for $34

question 35

Multiple Choice

A stock is currently selling for $34. It pays no dividend and has an annualized standard deviation of 39 percent. The strike price is $35 and 3 months to maturity. The risk-free rate is 4.2 percent per annum.
-What is the call option premium?

• A) $2.11
• B) $2.29
• C) $2.36
• D) $2.45
• E) $2.51

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Definitions:

Seafood Distributor

A business entity involved in the wholesale or retail distribution of seafood products to various outlets including markets and restaurants.

Commercial Fisher

A person or business involved in the catching and selling of fish for commercial purposes.

Voidable

Describes a legal transaction or agreement that may be nullified or rescinded by one or more parties.

Released

The action of freeing someone or something from a constraint, obligation, or legal liability.