Dear Wombat,
The risk-free interest should be 1.5 per cent i.e., cash free rate based on RBA. You used 4.74 per cent in your calculation which is commercial interest based on lending rate.
Volatility could be around 100 per cent instead of 40 per cent.
Option premium = intrinsic value + time value
0.009 = 0 + 0.009. So the current option price is purely time value since the option is still out of the money.
Dear Wombat,The risk-free interest should be 1.5 per cent i.e.,...
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