Which would you expect to have the highest option price

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Reference no: EM131315864

Of the following options, which would you expect to have the highest option price?

a. A European 3-month put option on a stock whose market price is $90 where the strike price is $100. The standard deviation of the stock price over the past 5 years has been 15%.

b. A European 3-month put option on a stock whose market price is $110 where the strike price is $100. The standard deviation of the stock price over the past 5 years has been 15%.

c. A European 1-month put option on a stock whose market price is $90 where the strike price is $100. The standard deviation of the stock price over the past 5 years has been 15%. Of the following options, which would you expect to have the highest option price?

Reference no: EM131315864

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