The common stock of the C.A.L.L. Corporation has been trading in a narrow range around $120 per share for months, and you believe it is going to stay in that range for the next 3 months. The price of a 3-month put option with an exercise price of $120 is $7.99.
a. If the risk-free interest rate is 7% per year, what must be the price of a 3-month call option on C.A.L.L. stock at an exercise price of $120 if it is at the money? (The stock pays no dividends.) (Do not round intermediate calculations. Round your answer to 2 decimal places.)
