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54.00 56.00 3.40% 3.00% 3 15.00% 3 Use the Black-Scholes option pricing model to price...

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Finance

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54.00 56.00 3.40% 3.00% 3 15.00% 3 Use the Black-Scholes option pricing model to price the following European call option. 4 35 Stock prices 36 Exercise price $ 37 Risk free rate 38 Dividend yield 39 Time to expiration (in months) 40 Std dev of stock return 41 42 a. Compute di (report answer to 4 decimal places but do not round in calculations) 43 1144 d1 145 146 b. Compute d2 (report answer to 4 decimal places but do not round in calculations) 147 148 d2 149 150 c. What is the value of the call option? (Hint: Use Excel function normsdist to compute Nd's) 151 152 Call option value (to nearest cent) 153 154

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