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elf_fu elf_fu
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6 years ago
Assume that a $60 strike call pays a 1.0% continuous dividend, r = 0.05, σ = 0.28, and the stock price is $62.00. What is the profit or loss per share if on a long call position, with 73 days until expiration, the price immediately rises to $63.00?
A) $0.68 gain
B) $0.68 loss
C) $0.88 gain
D) $0.88 loss
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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6 years ago
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#2
4 years ago
Good！
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