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Calculate the price of a European call option using the Black Scholes model and the following data: stock price = $50, exercise price = $55,
Calculate the price of a European call option using the Black Scholes model and the following data: stock price = $50, exercise price = $55, time to expiration = 15 days (0.04 year), risk-free rate = 2.5%, standard deviation = 22%, dividend yield = 0%.
d | N(d) |
-2.120 | 0.017 |
-2.164 | 0.015 |
-1.544 | 0.061 |
-2.095 | 0.018 |
Multiple Choice:
A. 0.79
B. 0.204
C.1.49
D. 0.025
*Please explain thoroughly and solve without using excel, thank you.
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