Assume S = $31

Assume S = $31.75,div = 0,r = 0.03,and σ = 0.20,and 90 days until the expiration of a standard call option.A call on call compound option with an exercise price of $2.00 has 180 days until expiration.What is the premium of the call on call option?

A) $1.46
B) $2.46
C) $3.04
D) $3.53

Correct Answer:

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