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Business, 21.05.2021 17:50 batmanmarie2004

The spot price of BOA is $150. The risk free rate is 3%. Assume that BOA follows a log-normal model with volatility 20% and expected rate of return 2%. Consider a 1-year 150-180 bull spread on BOA made of calls. What is the probability that the payoff this bull-spread is $20 or more? a. none of the above
b. between 0.42 and 0.46
c. below 0.42
d. above 0.46

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The spot price of BOA is $150. The risk free rate is 3%. Assume that BOA follows a log-normal model...
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