What is the value of a 6-month call with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l }
\text { Stock price } & \$ 17.20 \
\text { Risk-free rate } & 3.75 \text { percent } \
\text { Standard deviation } & 59 \text { percent } \
\mathrm { N } \left( \mathrm { d } _ { 1 } \right) & \mathbf { 0 . 2 6 0 1 6 } \
\mathrm { N } \left( \mathrm { d } _ { 2 } \right) & 0.14456
\end{array}$$
A)$0
B)$0.93
C)$1.06
D)$1.85
E)$2.14

Question

What is the value of a 6-month call with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } 
\text { Stock price } & \$ 17.20 \
\text { Risk-free rate } & 3.75 \text { percent } \
\text { Standard deviation } & 59 \text { percent } \
\mathrm { N } \left( \mathrm { d } _ { 1 } \right) & \mathbf { 0 . 2 6 0 1 6 } \
\mathrm { N } \left( \mathrm { d } _ { 2 } \right) & 0.14456
\end{array}$$
A)$0
B)$0.93
C)$1.06
D)$1.85
E)$2.14

Quizplus · Accepted Answer

C = ($17.20 × 0.26016) - ($25 × 2.71828^-0.0375 ^{× 0.5} × 0.14456) = $0.93

What Is the Value of a 6-Month Call with a Strike