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

Question

Quizplus · Accepted Answer

The Black-Scholes option pricing model for a call option is given by: 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 values from the cumulative normal distribution function for d1 and d2, respectively. Without specific values for S0, X, r, and t, we cannot directly calculate the call option price from the given N(d1) and N(d2) values. However, since the question seems to imply a direct calculation from the provided N(d1) and N(d2) values, and without additional information, it's not possible to accurately determine the correct answer based on standard Black-Scholes formula application. The correct choice is based on the assumption that there's a specific context or additional information provided that leads to one of the listed values being correct.

Assume That N(d1)=