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Value of the Option Assignment | Homework For You

2. (4 points) Consider a non-dividend paying stock. The current price of the stock is So = $100. In a 3-month period, the stock price either goes up by 10% or down by 10%. The risk free interest rate is 1% per year with continuous compounding.Homework For You Consider a 6-month lookback call option with payoff max(0, S max – K), where Smax = max(S0, S1,S2). Here Sy is the stock price in 3 months, S2 is the stock price in 6 months, K is the strike price. Compute the value of the option when K = 95. How would you delta hedge initially if you sell 100 such calls?Get Finance homework help today

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