Question
A call option has an exercise price of $30. The stock price is currently $27 and the appropriate interest rate is 6%. The option expires
A call option has an exercise price of $30. The stock price is currently $27 and the appropriate interest rate is 6%. The option expires in exactly one year and the sigma (The return variability of underlying asset expressed as a decimal) is 0.50 or 50%. What is the value of this call option? You may use my option pricing spreadsheet (or an internet option pricing calculator, e.g., http://www.margrabe.com/OptionPricing.html Link to the calculator Option Pricing Calculator (Links to an external site.) ) to compute the price of this option.Important: Give the option price to two decimal places, e.g. 3.25 or $3.25. You must use the correct answer format to receive full credit for your answer.
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