You Need to Find the Price of a European Call

question 11

Multiple Choice

You need to find the price of a European call option on a stock that does not pay dividends.The current price of the shares are $100 and the strike price on the option is $80.The expiration date is 9 months from now and the risk-free rate applicable is 8% per annum.If the standard deviation on the returns on the stock is 50%,what is the price of a single call option?

• A) $19.71
• B) $27.20
• C) $30.39
• D) $36.65

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