A non dividend paying stock has the following details for its European option:

Time to expiry – 1 year, Risk free interest (Continuous)- 5%, Exercise price = 42, Current Stock Price = 40, Call option=3.45

What are the likely price range for the equivalent American Options (Call and Put)?

The answer is Call range 3.45 ≤ C ≤ 5.4, Put range 3.4 ≤ P ≤ 5.45

How to arrive at the solution?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.