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Suppose the current stock price (P0) is US$45. A one year call option on the stock...

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Finance

Suppose the current stock price (P0) is US$45. A one year calloption on the stock with an exercise price € of US$35. A calloption was brought which will expire in 6 months. The standarddeviation of the stock price returns is 20%. The risk-free rate ofreturn is 4% per annum.

Use the above data to calculate the price of the call optionusing the black and Scholes model.

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Suppose the current stock price (P0) is US$45. A one year calloption on the stock with an exercise price € of US$35. A calloption was brought which will expire in 6 months. The standarddeviation of the stock price returns is 20%. The risk-free rate ofreturn is 4% per annum.Use the above data to calculate the price of the call optionusing the black and Scholes model.

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