29. Option Pricing. Use the Black-Scholes formula to find the value of a call option on the follow- ing stock. (You can find the spreadsheet in the chapter as well as on our Web site at www.mhhe .com/bmm6e). (LO2)

Time to expiration Standard deviation Exercise price Stock price Interest rate 1 year 40% per year $50 $50 4% (effective annual yield)

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Portfolio value $100 $620 $720 $820 Stock price