Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 55% per year Exercise price $51 Stock price $50 Annual interest rate 5% Dividend 0 Calculate the value of a call option. Note: Do not round intermediate calculations. Round your answer to 2 decimal places.

Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 55% per year Exercise price $51 Stock price $50 Annual interest rate 5% Dividend 0 Calculate the value of a call option. Note: Do not round intermediate calculations. Round your answer to 2 decimal places.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 7P

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Time to expiration	6 months
Standard deviation	55% per year
Exercise price	$51
Stock price	$50
Annual interest rate	5%
Dividend	0

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