Gary Levin is the chief executive officer of Mountainbrook Trading Company. The board of directors has...

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Gary Levin is the chief executive officer of MountainbrookTrading Company. The board of directors has just granted Mr. Levin38,000 at-the-money European call options on the company’s stock,which is currently trading at $60 per share. The stock pays nodividends. The options will expire in five years and the standarddeviation of the returns on the stock is 56 percent. Treasury billsthat mature in five years currently yield a continuously compoundedinterest rate of 4.6 percent.

a. Use the Black-Scholes model to calculate the value of the stockoptions. (Do not round intermediate calculations and roundyour answer to 2 decimal places, e.g., 32.16.)

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Gary Levin is the chief executive officer of MountainbrookTrading Company. The board of directors has just granted Mr. Levin38,000 at-the-money European call options on the company’s stock,which is currently trading at $60 per share. The stock pays nodividends. The options will expire in five years and the standarddeviation of the returns on the stock is 56 percent. Treasury billsthat mature in five years currently yield a continuously compoundedinterest rate of 4.6 percent. a.Use the Black-Scholes model to calculate the value of the stockoptions. (Do not round intermediate calculations and roundyour answer to 2 decimal places, e.g., 32.16.)