What is the value of a 9month call with a strike price of 50

What is the value of a 9-month call with a strike price of $50 given the Black-Scholes Option Pricing Model and the following information? Stock Price $47 Exercise Price $50 Time to Expiration .75 Risk-free rate .04 N(d1) .46119 N(d2) .39334

Solution

C = ($50 × . .46119 ) – ($50 × 2.71828-.04 × .75 × . 39334) = $34.5068 – $27.8142 =

$23.05-$19.09 = $3.96


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