Black-Scholes Option Pricing Model.
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
https://brainmass.com/business/black-scholes-model/black-scholes-option-pricing-model-137737
Solution Preview
Black-Scholes model:
C = S*N(d1) - K*exp(-rt)*N(d2)
where
S =Stock ...
Solution Summary
The expert examines Black-Scholes options and pricing models.
$2.19