All of the following affect the value of a call option except the: Multiple Choice A...

Question

Question

All of the following affect the value of a call option except the:

Multiple Choice

A strike price.

B stock price.

C standard deviation of the returns on a risk-free asset.

D continuously compounded risk-free rate.

E time to maturity.

Answer 1

Answer #1

Call option is the right to buy the underlying asset at a specified price on a future date

The option premium is calculated using strike price, Underlying Stock Price, Time to maturity and the risk free rate

Hence, the answer is

D continuously compounded risk-free rate.

It is not a part of option premium calculation

Answer 2

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