Use the Black - Scholes formula to find the value of a call option based on the following input. Refer cumulative normal distribution table. (Do not round intermediate calculations. Round your final answer to 2 decimal places.)   stock price $66   exercise price $71   interest rate 7%   dividend yield 0%   time to expiration .5   standard deviation of stocks returns 20%.   a. $1.03   b. $@.65   c.$4.43   d. $5.21

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
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K1.

Use the Black - Scholes formula to find the value of a call option based on the following input. Refer cumulative normal distribution table. (Do not round intermediate calculations. Round your final answer to 2 decimal places.)

 

stock price $66

 

exercise price $71

 

interest rate 7%

 

dividend yield 0%

 

time to expiration .5

 

standard deviation of stocks returns 20%.

 

a. $1.03

 

b. $@.65

 

c.$4.43

 

d. $5.21

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