A stock is currently priced at $60 and has an annual standard deviation of 40 percent. The dividend yield of the stock is 2.6 percent, and the risk-free rate is 4.6 percent. What is the value of a call option on the stock with a strike price of $57 and 54 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.)

Call option

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A stock is currently priced at $58 and has an annual standard deviation of 38 percent. The dividend yield of the stock is 2.2 percent, and the risk-free rate is 4.2 percent. What is the value of a call option on the stock with a strike price of $55 and 58 days to expiration? (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Call option $ 5.21 + 1% Explanation In( 58/55) + (0.042 -0.022 +0.382/2) x 58/365 d 0.38 x 58/365 0.4473 d2 = 0.4473 0.3858/365 = 0.2959 The standard normal probabilities are: N(C) = 0.6727 N(C) = 0.6163 Calculating the price of the call option yields: C = ($58 x -0.022 * 58/365 x 0.6727) ($55 x -0.042 x 58/365 x 0.6163) = $5.21