Use the Black-Scholes formula to find the value of a European call expiring in one year with an exercise price of $100 for a share currently selling for $90.Assume the standard deviation of the continuous rate of return is 30% p.a.and the risk-free interest rate is 10% p.a.

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The Black-Scholes formula for a European call option is given by: $C = S_0N(d_1) - Xe^{-rt}N(d_2)$, where:- $C$ is the price of the call option,- $S_0$ is the current stock price,- $X$ is the strike price,- $r$ is the risk-free interest rate,- $t$ is the time to expiration,- $N(d)$ is the cumulative distribution function of the standard normal distribution,- $d_1 = \frac{\ln(\frac{S_0}{X}) + (r + \frac{\sigma^2}{2})t}{\sigma\sqrt{t}}$,- $d_2 = d_1 - \sigma\sqrt{t}$,- $\sigma$ is the volatility of the stock's returns.Given:- $S_0 = 90$,- $X = 100$,- $r = 0.10$,- $t = 1$ year,- $\sigma = 0.30$.Plugging these values into the formula, we find that the price of the call option is approximately $10.52, which matches option C. Calculations for $d_1$, $d_2$, and subsequently $N(d_1)$ and $N(d_2)$ are required to reach this result, using the normal distribution function for $N(d)$.

Use the Black-Scholes Formula to Find the Value of a European