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Question
Use the following information to answer the following question(s).Valuing a call option using the Black Scholes model
Current price of of ABZ stock = $50
Exercise or strike price of the call option = $48
The maturity of the option is 0.5 years
The annualized variance in the returns on the stock is .20
The risk free rate of interest is 3% per annum
Assume that N(d1) =.63105andN(d2)= .50735. Compute the value of the call option using the Black -Scholes option pricing model.
A) $23.99
B) $7.56
C) $7.20
D) $2.00
Answer
This answer is hidden. It contains 1 characters.
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