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Business, 11.11.2020 04:30 lowealiyah6755

QUESTION 23 Consider an American call option on a stock. The stock price is $70, the time to maturity is eight months, the
risk-free rate of interest is 10% per annum, the exercise price is $75, and the volatility is 32%. A dividend of
SI is expected after three months and again after six months. Use DerivaGem to calculate the price of the
option with 100 steps. i) what is the intrinsic value and what the value of the option?
Oa. 1) 6.1839; ii) 6.1839
Ob.1) 8.7629; ii) 8.7629
Oci) 0; ii) 6.1839
O d. i) 0; ii) 8.7629
e. None of the above

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QUESTION 23 Consider an American call option on a stock. The stock price is $70, the time to maturi...
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