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What is the probability that a european call option

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Reference no: EM132852579

A Stock price follows geometric Brownian motion with an expected return of 16% per annum and a volatility of 35% per annum. The current price is $38.

What is the probability that a European call option on the stock with an exercise price of $40 and a maturity date is 6 months will be exercised? What is the 95% absolute value at risk (VAR) at the end of six months? What is the 95% relative value at risk (VAR) at the end of six months?

Reference no: EM132852579

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