Assume that the current price of DEY share is $25,that a 6-month call option on the share has a strike or exercise price of $27.50,the risk free rate is 4%,and that you have calculated N(d1)as .5476 and N(d2)as .4432.Use the Black-Scholes model to calculate the price of the option.

Question

Quizplus · Accepted Answer

The Black-Scholes formula for a call option is C = S0 * N(d1) - X * e^(-rT) * N(d2). Plugging in the values: C = 25 * 0.5476 - 27.5 * e^(-0.04*0.5) * 0.4432 = 1.74.

Assume That the Current Price of DEY Share Is $25,that