Which of the following options on corn is least valuable? Assume the variance of

Question

Which of the following options on corn is least valuable? Assume the variance of return and the risk free rate are the same in all cases.

a)A call option with a strike price of $4 and 30 days to expiration when corn is trading at $4.00 per bushel.

b)A call option with a strike price of $4 and 60 days to expiration when corn is trading at $4.00 per bushel.

c)A call option with a strike price of $4 and 30 days to expiration when corn is trading at $3.00 per bushel.

d)A call option with a strike price of $4 and 60 days to expiration when corn is trading at $3.00 per bushel.

Explanation / Answer

c)A call option with a strike price of $4 and 30 days to expiration when corn is trading at $3.00 per bushel.

least time frame and out of the money

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