Purchase Solution

Black Scholes Model - Value of a call option

Not what you're looking for?

Ask Custom Question

For a call option on a non-dividend paying stock, the strike price is $29, the stock price is $30, the risk-free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 3 months. What is the price of the call option?
a. $2.02
b. $2.35
c. $2.67
d. $2.89
e. None of the above.

Purchase this Solution

Solution Summary

This solution illustrates how to calculate the value of a call option using black scholes model.

Solution Preview

Use BLACK SCHOLES Model ...

Purchase this Solution


Free BrainMass Quizzes
Elementary Microeconomics

This quiz reviews the basic concept of supply and demand analysis.

Basics of Economics

Quiz will help you to review some basics of microeconomics and macroeconomics which are often not understood.

Economics, Basic Concepts, Demand-Supply-Equilibrium

The quiz tests the basic concepts of demand, supply, and equilibrium in a free market.

Pricing Strategies

Discussion about various pricing techniques of profit-seeking firms.

Economic Issues and Concepts

This quiz provides a review of the basic microeconomic concepts. Students can test their understanding of major economic issues.