The current stock price of Johnson and Johnson is $64 and the stock does not pay dividends. The instantaneous risk free rate of return is 5%. The instantaneous standard deviation of J&J's stock is 20%. You wish to purchase a call option on this stock with an exercise price of $55 and an expiration date 73 days from now.
Using the Black-Scholes OPM, what should the call option be worth today?© BrainMass Inc. brainmass.com June 4, 2020, 2:31 am ad1c9bdddf
Solution describes the steps to calculate value of call option by using Black Scholes model.