Suppose the current stock price (P0) is US$45. A one year call option on the stock...

Suppose the current stock price (P0) is US$45. A one year call option on the stock with an exercise price € of US$35. A call option was brought which will expire in 6 months. The standard deviation of the stock price returns is 20%. The risk-free rate of return is 4% per annum.

Use the above data to calculate the price of the call option using the black and Scholes model.

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jeff jeffy answered 7 months ago

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