Calculate the price of a call option using the Black Scholes model and the following data: stock price = $47.30, exercise price = $50, time to expiration = 85 days, risk-free rate = 3%, standard deviation = 35%.
A) $1.11
B) $2.22
C) $3.33
D) $4.44

Question

Quizplus · Accepted Answer

d₁ = 11eaaae8_8b45_7135_a4b8_e511c4083352_TB6474_11 = -0.2029 d₂ = -0.2029 - 0.35 × 11eaaae8_8b45_7136_a4b8_3d41c0b6c935_TB6474_11 = -0.3718 N(d₁) = 0.4196 N(d₂) = 0.3550 Call value = S0N(d₁) - Xe-rTN(d₂) = (47.30) × (0.4196) - (50) × e-(0.03)(0.233) × 0.3550 = $2.22

Calculate the Price of a Call Option Using the Black