Price of a Call Option Using the Black-Scholes Model
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Use the Black-Scholes model to find the price for a call option with the following inputs:
(1) Current Stock price is $30
(2) Exercise price is $35
(3) time to expiration is 4 months,
(4) annualized risk-free rate of 5%, and
(5) variance of stock return is .25
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Solution Summary
The price of a call option is calculated using the Black-Scholes Option Pricing Model in an attached Excel spreadsheet.
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Use the Black-Scholes model to find the price for a call option with the following inputs: (1) Current Stock price is $30 (2) Exercise price is $35 (3) time to expiration is 4 months, (4) annualized risk-free rate of 5%, and (5) variance of stock return is .25
We will use Black Scholes Pricing Formula
Value of call= S N(d1) - X * e -r(T-t) * ...
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