I have been to two different interviews for jobs related to option trading, and both time I have been asked a question, which is pretty basic, and still I could not answer it.
If you have an European call option, with :
- Expiration : 1 year
- Volatility : 10%
- Strike : 100
- Spot : 100 (at the money)
- Risk free rates : 0
What is its price? I could not use the BS formula, because I have no calculator. I think I should probably have used a binomial tree, but I didn't find out how.
Thank you for your help