What is the value of a 3-month call option with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l }
\text { Stock price } & \$ 29.30 \
\text { Standard deviation } & 42 \text { percent } \
\text { Risk-free rate } & 4 \text { percent } \
N \left( d _ { 1 } \right) & 0.74699 \
N \left( d _ { 2 } \right) & 0.66642
\end{array}$$

Question

What is the value of a 3-month call option with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } 
\text { Stock price } & \$ 29.30 \
\text { Standard deviation } & 42 \text { percent } \
\text { Risk-free rate } & 4 \text { percent } \
N \left( d _ { 1 } \right) & 0.74699 \
N \left( d _ { 2 } \right) & 0.66642
\end{array}$$

Quizplus · Accepted Answer

C = ($29.30 × 0.74699) - ($25 × 2.71828^-0.04 ^{× 0.25} × 0.66642) = $5.39

What Is the Value of a 3-Month Call Option with a Strike