The current stock price of KMW is $27, the risk-free rate of return is 4%, and the standard deviation is 30%. What is the price of a 63-day call option with an exercise price of $25?
A) $2.50
B) $2.65
C) $2.89
D) $3.12

Question

Quizplus · Accepted Answer

d₁ = 11eaaae8_8b46_348b_a4b8_73ff26a6c4f8_TB6474_11 = 0.7352 d₂ = 0.7352 - 0.30 × 11eaaae8_8b46_348c_a4b8_2d4487a4e252_TB6474_11 = 0.6106 N(d₁) = 0.7689 N(d₂) = 0.7293 Call value = $2.65

The Current Stock Price of KMW Is $27, the Risk-Free