a. A new European-style floating lookback call option on a stock index has a maturity of 9 months. The current level of the index is 400, the risk-free rate is 6% per annum, the dividend yield on the index is 4% per annum, and the volatility of the index is 20%. Use DerivaGem to value the option.
b. Estimate the value of a new 6-month European-style average price call option on a nondividend-paying stock. The initial stock price is $30, the strike price is $30, the risk-free interest rate is 5%, and the stock price volatility is 30%.