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Black Scholes: value of a call option on Kellogg

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Use monthly price data for the last ten years (ending June 2004) on the Kellogg Company:
http://edgarscan.pwcglobal.com/servlets/getCompanyDetail?Name=KELLOGG+CO

and the ten year average annual return on 10-year treasury constant maturity rate bonds. Apply the Black-Scholes option pricing model to find the value of a call option on Kellogg stock with the following characteristics:

Exercise Price - $45.00
Maturity - 6 months

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Solution Summary

Using monthly price data for the last ten years on the Kellogg Company, and the ten year average annual return on 10-year treasury constant maturity rate bonds and applying the Black-Scholes option pricing model, the value of a call option on Kellogg stock with a given exercise price and maturity is calculated.

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