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Business, 10.05.2021 22:20 eduardo60

Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 4% per annum, the volatility is 20% per annum, and the time to maturity is three months. Assume that the stock is due to go ex-dividend in 1.5 months. The expected dividend is 50 cents. What is the price of the option if it is a European call

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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is...
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