Multiple Choice
A binary option pays off $100 if a non-dividend-paying stock price is greater than its current value in three months.The risk-free rate is 3% and the volatility is 40%.Which of the following is its value?
A) 99.25N(-0.1375)
B) 99.25N(0.1375)
C) 99.25N(-0.0625)
D) 99.25N(0.0625)
Correct Answer:
Verified
Correct Answer:
Verified
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