This preview shows page 1. Sign up to view the full content.
Unformatted text preview: The risk-free rate, compounded continuously, is 5% European options on one share of ABC stock expiring in one year have the following prices: Joan creates a zero-cost call ratio spread that will have a profit of zero if the stock price in one year is equal to 68.3. Solve for X. A) 55.70 B) 58.68 C) 57.22 D) 64.08 E) 61.34...
View Full Document
This note was uploaded on 08/31/2010 for the course FM 13678 taught by Professor Kellison during the Spring '10 term at St. Clair College.
- Spring '10