Calculate the value of the call option

Reference no: EM133559806

Question 1

The current share price of Eclipse Berhad is RMIOO. The exercise price of the option is RM95 in 3 months' time. The additional information is the risk-free rate of interest is 10% per annum; meanwhile the standard deviation of return on the share is 50%.

Required :

Calculate the value of the call option.
Calculate the value of a put option.

c) If Eclipse Berhad have already 800,000 written call options, devise a delta hedge to protect against changes in the share price.

Reference no: EM133559806

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