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A stock sells for $110.A call option on the stock has an exercise price of $105...

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Finance

A stock sells for $110.A call option on the stock has anexercise price of $105 and expires in 43 days.Assume that theinterest rate is 0.11 and the standard deviation of the stock'sreturn is 0.25

Required:

What is the call price according to the Black Scholesmodel?

Answer & Explanation Solved by verified expert
4.2 Ratings (715 Votes)
We use BlackScholes Model to calculate the value of the call and put options The value of a call and put option are C S0 Nd1 Kert Nd2 where S0 current spot    See Answer
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