A stock is currently selling for $34. It pays no dividend and has an annualized standard deviation of 39 percent. The strike price is $35 and 3 months to maturity. The risk-free rate is 4.2 percent per annum.
-What is the call option premium?
A) $2.11
B) $2.29
C) $2.36
D) $2.45
E) $2.51

Question

Quizplus · Accepted Answer

The call option premium can be calculated using the Black-Scholes option pricing model. Given the inputs, the calculated premium is approximately $2.36.

A Stock Is Currently Selling for $34