Do you think this would be a section b question? Surely this would be too easy to be asked in the exam. How many marks would you say a question would be worth?
It may be easy for you, but it isn’t for everyone 🙂
It could certainly be asked in the exam as part of either a Section A or a Section B question. As to how many marks, it depends on how much was asked – whether it was just the calculation of the option price (which on its own would be unlikely) or also asking about the Greeks and/or about a delta hedge.
However, the current examiner is more keen on asking about real options (not too often, but he does ask them). You can get an idea as to how many marks (again, only as a part of a question) by looking at the recent past exam questions in your Revision Kit.
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