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What should be the price of option

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Reference no: EM132951221

Question - The current price of a non-dividend-paying stock is $621 and the annual standard deviation of the rate of return on the stock is 31%.

An option on the stock has a strike price of $630 and expires in 0.4 years. The risk-free rate is 5% (continuously compounded).

-What should be the price (premium) of option if it is a European call option?

-What should be the price (premium) of option if it is a European put option?

-What should be the price (premium) of option if it is a American call option?

Reference no: EM132951221

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