Call options with a strike price of $65.00 and an expiration of two months were written when the underlying stock was trading at $66.53. Over the following month, the underlying stock volatility was 30.82% even though the implied volatility remained constant at 49.50%. The continuously compounded risk free rate is 4.20%. The options currently have one month until expiration and the underyling stock is now trading at $72.60. What is the option's current market price? Report your answer without a dollar sign to four decimal places.

Call options with a strike price of $65.00 and an expiration of two months were written when the underlying stock was trading at $66.53. Over the following month, the underlying stock volatility was 30.82% even though the implied volatility remained constant at 49.50%. The continuously compounded risk free rate is 4.20%. The options currently have one month until expiration and the underyling stock is now trading at $72.60. What is the option's current market price? Report your answer without a dollar sign to four decimal places.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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