Calculate the price of a one-month European call option given the following information: the exercise price is $19,the current share price is $20 and the risk-free interest rate is 15% p.a.Furthermore,the share price is expected to be either $25 or $15 at the end of the month.Assume a risk-neutral world.
A) $2.35
B) $2.59
C) $2.81
D) $3.11
Correct Answer:
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A)1970.
B)1971.
C)1972.
D)1973.
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A)arbitrage opportunities
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A)a
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