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Imagine that both Microsoft stock (MSFT) and Facebook stock (FB) are currently trading at 20 USD/share. The price volatility of MSFT is significantly lower than that of FB. A call option on MSFT with a strike price of 20 USD and a time to maturity of 3 months is trading at a premium of 1.5 USD. Which of the following call options on FB could possibly be trading at the same price as the option on MSFT?

A. Call option on FB, with maturity of 3 months, and strike of 20 USD.

B. Call option on FB, with maturity of 6 months, and strike of 20 USD.

C. Call option on FB, with maturity of 2 months, and strike of 20 USD.

D. Call option on FB, with maturity of 3 months, and strike of 19 USD.

E. Call option on FB, with maturity of 3 months, and strike of 22 USD.

F. Call option on FB, with maturity of 1 month, and strike of 19 USD.

G. Call option on FB, with maturity of 4 months, and strike of 25 USD.

H. Call option on FB, with maturity of 6 months, and strike of 18 USD.

Financial Management, Finance

  • Category:- Financial Management
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