A stock currently trades for $110 per share. Call options on the stock are available with a strike price of $115. The options expire in 20 days. The annual risk free rate is 4% and the expected standard deviation is 0.40.

Find the value of a call option using the Black-Scholes option pricing model (Assume 365 days per year)

• 2.51
• 5.77
• 3.16
• 4.42

Use the Black-Scholes option pricing model to find the value of a put option written on the same stock that matures in 20 days and has a strike price of 115. (Assume 365 days per year).

• .53
• 7.25
• .86
• 6.85
• 7.11