What is the value of a call option on one share

Reference no: EM132076004

Question: Sandy Weill, the chief executive officer (CEO) of Citigroup was granted 10 million options. The stock price at the time of the options grant was $50. Assume that his options are at the money. The risk-free rate is 7% and the options expire in 5 years. The annual standard deviation of Citigroup's stock is 30%.

a) What is the value of a call option on one share of Citigroup stock?

b) What is the value of Mr. Weill's options grant?

Reference no: EM132076004

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