# Question about Black Scholes

A call option matures in 6 months. The underlying stock price is $85, and the stock's return has a standard deviation of 20 percent per year. The risk-free rate is 4 percent per year, compounded continuously. If the exercise price is $0, what is the price of the call option?

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Please see the attached file.

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#### Solution Summary

The expert finds the value of a call option using Black Scholes model.

$2.19