What is the price of a one-month European call option given the following information: the exercise price is $19, the current share price is $19, and the risk-free interest rate is 1% per month. Furthermore, the share price is expected to be either $25 or $15 at the end of the month. The company does not pay dividends. Assume a risk-neutral world. Group of answer choices $3.11 $1.91 $2.49 $3.32 None of the above answers is correct.

What is the price of a one-month European call option given the following information: the exercise price is $19, the current share price is $19, and the risk-free interest rate is 1% per month. Furthermore, the share price is expected to be either $25 or $15 at the end of the month. The company does not pay dividends. Assume a risk-neutral world. Group of answer choices $3.11 $1.91 $2.49 $3.32 None of the above answers is correct.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 7P

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