Suppose the stock price is 100, the riskless rate is 5%. What is the price of a 1 year call struck at 100 if the volatility is 0? How would you hedge the call?

Printable View

- October 5th 2007, 10:26 AMbluesilverQuestion from Financial Math
Suppose the stock price is 100, the riskless rate is 5%. What is the price of a 1 year call struck at 100 if the volatility is 0? How would you hedge the call?