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    Find the price of the call option by the Black-Scholes

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    Parameters
    Strike price = $120;
    Expiration time = 1 year;
    Annual interest rate = 0.05;
    Stock volatility = 0.35.
    For the initial stock price, S0 = 100.45

    Requirements

    1. Find the price of the call option by the Black-Scholes formula rounded to the nearest cent.

    © BrainMass Inc. brainmass.com March 4, 2021, 11:53 pm ad1c9bdddf
    https://brainmass.com/math/basic-algebra/finding-price-call-option-black-scholes-464100

    Solution Summary

    This solution uses the Black-Scholes to find the price of the call option.

    $2.49

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