Question
Boston Scientific Corporation common stock currently sells for $22.40 per share, and the standard deviation of returns is 28.72%. A call option with a strike
Boston Scientific Corporation common stock currently sells for $22.40 per share, and the standard deviation of returns is 28.72%. A call option with a strike price of $20.50 is currently trading on the market. The option expires in two months, and the risk-free rate of return is 4.0%. Boston Scientific does not pay a dividend. According to the Black-Scholes model, a decrease in Boston Scientific's stock price of $1 will lead to:
Group of answer choices
an increase in the price of the Boston Scientific call option of $0.19
a decrease in the price of the Boston Scientific call option of $0.77
an increase in the price of the Boston Scientific call option of $0.81
a decrease in the price of the Boston Scientific call option of $0.81
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