Explore BrainMass

Explore BrainMass

    Black-Scholes Option Pricing Model

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    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: 0.75 years
    Risk-free rate: 5%
    N(d1): 0.718891
    N(d2): 0.641713

    © BrainMass Inc. brainmass.com June 4, 2020, 12:45 am ad1c9bdddf
    https://brainmass.com/business/black-scholes-model/black-scholes-option-pricing-model-357695

    Solution Summary

    What is the value of a 9-month call given the Black-Scholes Option Pricing Model

    $2.19

    ADVERTISEMENT