Use the Black-Scholes formula to find the value of a call option based on the following...

80.2K

Verified Solution

Question

Finance

Use the Black-Scholes formula to find the value of a call optionbased on the following inputs. (Round your final answer to2 decimal places. Do not round intermediatecalculations.)
Stock price $ 36.00
Exercise price $ 45.00
Interest rate 6.00 %
Dividend yield 5.00 %
Time to expiration 0.5833
Standard deviation of stock’s returns 49.00 %
Call value $?

Answer & Explanation Solved by verified expert

3.7 Ratings (442 Votes)

See Answer

Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:

Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!

Become a Member

Transcribed Image Text

Use the Black-Scholes formula to find the value of a call optionbased on the following inputs. (Round your final answer to2 decimal places. Do not round intermediatecalculations.)Stock price$36.00Exercise price$45.00Interest rate6.00%Dividend yield5.00%Time to expiration0.5833Standard deviation of stock’s returns49.00%Call value $?


Stock price	$	36.00
Exercise price	$	45.00
Interest rate		6.00	%
Dividend yield		5.00	%
Time to expiration		0.5833
Standard deviation of stock’s returns		49.00	%