Multiple Choice
A call option matures in six months. The underlying stock price is $37 and the stock's return has a standard deviation of 27 percent per year. The annual risk-free rate is 3.4 percent, compounded continuously. The exercise price is $0. What is the price of the call option?
A) $39.65
B) $32.14
C) $36.37
D) $32.23
E) $37.00
Correct Answer:
Verified
Correct Answer:
Verified
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