(1 point) The Black-Scholes formula for the value of a Euro-style call option is

C(S,t)=SN(d1)Ker(Tt)N(d2)C(S,t)=SN(d1)Ker(Tt)N(d2)

where

d1=1Tt[ln(S/K)+(r+2/2)(Tt)]d1=1Tt[ln(S/K)+(r+2/2)(Tt)]

d2=1Tt[ln(S/K)+(r2/2)(Tt)]=d1Ttd2=1Tt[ln(S/K)+(r2/2)(Tt)]=d1Tt

N()N() is the cumulative distribution function of the standard normal distribution

The parameters are as follows:

SS is the spot price of the underlying asset

KK is the strike price

TtTt is the time to maturity

rr is the risk free rate (annual rate, expressed in terms of continuous compounding)

is the volatility of returns of the underlying asset

For parameter values

S=86.5S=86.5

K=90K=90

Tt=0.166667Tt=0.166667 expiration time ( years ),

r=0.0175r=0.0175

=0.21=0.21

in the Black-Scholes formulas,

ln(S/K)=ln(S/K)=

Tt=Tt=

d1=d1=

d2=d2=

N(d1)=N(d1)=

N(d2)=N(d2)=

and the value of the Euro call option is

CEuro=CEuro=

DO NOT COPY FROM OTHER CHEGG ANSWER!

DO NOT COPY FROM OTHER CHEGG ANSWER!

DO NOT COPY FROM OTHER CHEGG ANSWER!

(1 point) The Black-Scholes formula for the value of a Euro-style call option is C(s, t) = SN(d) - Ker(Tt)N(d) where = di [In(S/K)+(r + o2/2)(T t)] ?( da = vt [ln(S/K)+(r 02/2)(T t)] = d - VT - t N() is the cumulative distribution function of the standard normal distribution The parameters are as follows: S is the spot price of the underlying asset K is the strike price T-t is the time to maturity r is the risk free rate (annual rate, expressed in terms of continuous compounding) o is the volatility of returns of the underlying asset For parameter values S = 86.5 K = 90 T-t=0.166667 expiration time (years), r=0.0175 o= 0.21 in the Black Scholes formulas, In(S/K) = -0.03966 OVT-t = 0.085732 di = -0.385717 d2 = -0.47144958 N(di) N(d) and the value of the Euro call option is curo