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Jessica Silva, the CFO of a company has been granted options 200,000 shares. The stock is...

Jessica Silva, the CFO of a company has been granted options 200,000 shares. The stock is currently trading at $22 a share and options are at the money. The variance of the stock has been about 0.07 on an annual basis over the last several years. The options mature in 3 years and the risk-free rate is 4%. What is the value of a call option per share and the total for 200,000 share? (standard deviation is the square root of the variance) Use black-schooles model to calculate

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Expert Solution

Value of call option per share=5.1314

Value of 200000 shares=200000*5.1314=1026270.834

jeff jeffy answered 1 year ago
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