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Cola Company has call options on its common stock traded in the market

by | Nov 29, 2023 | Posted Questions

Cola Company has call options on its common stock traded in the market. The options have an exercise price of $45 and expire in 156 days. The current price of the Cola stock is $44.375. The risk free rate is 7% per year and the standard deviation of the stock returns is 0.31.

a. What is the value of the call on Cola Company, assuming that it is a European call?

b. What is the value of the put option on Cola Company with the same exercise price and maturity date?

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