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    Black-Scholes Option Pricing Model.

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    What is the value of a 9-month call with a strike price of $45 given the Black-Scholes Option Pricing Model and the following information?

    Stock price: $48
    Exercise price: $45
    Time to expiration: .75
    Risk-free rate : .05
    N(d1): .718891
    N(d2): .641713

    A. $2.03
    B. $4.86
    C. $6.69
    D. $8.81
    E. $9.27

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    Solution Preview

    Black-Scholes model:
    C = S*N(d1) - K*exp(-rt)*N(d2)
    S =Stock ...

    Solution Summary

    The expert examines Black-Scholes options and pricing models.