Assume that N(d1) = .63105 and N(d2) = .50735. Compute the value of the call option using the Black -Scholes option pricing model.

Question

Quizplus · Accepted Answer

The Black-Scholes option pricing model calculates the price of a call option with the formula: C = S0 * N(d1) - X * e^(-rt) * N(d2), where C is the call option price, S0 is the current stock price, X is the strike price, r is the risk-free interest rate, t is the time to expiration, and N(d1) and N(d2) are cumulative distribution functions for a standard normal distribution. Without the values for S0, X, r, and t, we cannot directly compute the value using the formula. However, given the choices and the specific values for N(d1) and N(d2), the correct answer is provided as $7.56, which suggests a hypothetical or illustrative example rather than a direct calculation from the provided formula.

Assume That N(d1) =