The Current Stock Price of Johnson and Johnson Is $64

question 18

Multiple Choice

The current stock price of Johnson and Johnson is $64 and the stock does not pay dividends. The instantaneous risk free rate of return is 5%. The instantaneous standard deviation of J&J's stock is 20%. You wish to purchase a call option on this stock with an exercise price of $55 and an expiration date 73 days from now.
-The stock price of Bravo Corp.is currently $100.The stock price a year from now will be either $160 or $60 with equal probabilities.The interest rate at which investors invest in riskless assets at is 6%.Using the binomial OPM,the value of a put option with an exercise price of $135 and an expiration date one year from now should be worth __________ today.

• A) $34.09
• B) $37.50
• C) $38.21
• D) $45.45