Consider an option on a non-dividend paying stock when the, Ask an Expert

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Consider an option on a non-dividend paying stock when the stock price on the 19th of October is €19.90, the strike price is €20, the 3-month EURIBOR is 0.08% p.a., and the annual volatility of the stock is 25% (calculated on the basis of continuously compounded returns). The option will expire on the third Friday of January 2018.

a) What is the price of the option if it is a European call?

b) What is the price of the option if it is an American call?

c) What is the price of the option if it is a European put?

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Financial Management, Finance

Category:- Financial Management
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