CUMULATIVE NORMAL DISTRIBUTION TABLE

CUMULATIVE NORMAL DISTRIBUTION TABLE
-Refer to the information above. A stock is currently selling for $60. The stock pays no dividends. An American call option on the stock has a strike price of $55 and has 3 months to
Expiration. The standard deviation of the continuously compounded rate of return of the stock
Is 30%, and the annualized risk-free rate is 3%. Use the Black-Scholes formula to calculate the
Fair value of this option.

A) $7.66
B) $6.79
C) $7.03
D) The Black-Scholes formula cannot be used to determine the fair value of an American call option.