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A stock sells for $110. A call option on the stock has exercise price of $105...

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Finance

  1. A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.
  1. What is the call price according to the black-Scholesmodel?

Answer & Explanation Solved by verified expert
4.4 Ratings (700 Votes)
We use BlackScholes Model to calculate the value of the call and put options The value of a call and put option are C S0 Nd1 Kert Nd2 where S0 current spot    See Answer
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A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.What is the call price according to the black-Scholesmodel?

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