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A stock trades for ​$43 per share. A call option on that stock has a strike...

A stock trades for ​$43 per share. A call option on that stock has a strike price of ​$51 and an expiration date six months in the future. The volatility of the​ stock's returns is 48​%, and the​ risk-free rate is 66​%. What is the Black and Scholes value of this​ option?

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Expert Solution

At Risk Free Rate of 6% - Value of Call = $3.51

At Risk Free Rate of 66% - Value of Call = $9.11

Please dont forget to upvote

jeff jeffy answered 1 year ago
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