Question

Asked Dec 1, 2019

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A stock is selling today for $30. The stock has an annual volatility of 70 percent and the annual risk-free rate is 11 percent. Calculate the time value for a 9 month European call option with an exercise price of $25.

Step 1

**Calculation of Time Value of European Call Option:**

The time value of European call option is **$10.38**.

**Excel Spreadsheet:**

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