Question
In: Finance
3. Use the Black-Scholes model to find the price for a call option with the following...
3. Use the Black-Scholes model to find the price for a call option with the following inputs: 1) current stock price is $30, 2) Strike price is 32, 3) Time expiration is 4 months, 4) annualized risk-free rate is 5%, and 5) standard deviation of stock return is 0.25.
Solutions
Expert Solution
You need to calculate the call price using Black Sholes Model for Call price calculation, which is as below:
Per the formula above, we first need to calculate d1 and d2.
On calculating,
d1 = - 0.2639
On calculating d2 = - 0.4072
Call Price, C = $1.12
jeff jeffy answered 2 years agoRelated Solutions
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