What is the value of a 9-month call with a strike price of $45 given the Black-Scholes Option Pricing Model and the following information?
Stock price $48
Exercise price $45
Time to expiration .75
Risk-free rate .05
N(d₁) .718891
N(d₂) .641713

Question

Quizplus · Accepted Answer

The Black-Scholes formula for a call option is C = S*N(d1) - X*e^(-rT)*N(d2). Plugging in the values: C = 48*0.718891 - 45*e^(-0.05*0.75)*0.641713 = 6.69.

What Is the Value of a 9-Month Call with a Strike