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?© BrainMass Inc. brainmass.com October 10, 2019, 12:09 am ad1c9bdddf
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The expert finds the value of a call option using Black Scholes model.