Ch$\mathrm{.}8$ Q$1-$ Question:

Assume the following inputs for a call option: (1) current stock price is $32, (2) strike price is $36, (3) time to expiration is 5 months, (4) annualized risk- free rate is 3%, and (5) variance of stock return is 0.32. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. Open spreadsheet Use the Black-Scholes model to find the price for the call option. Do not round intermediate calculations. Round your answer to the nearest cent. Black-Scholes Model Current price of underlying stock, P Strike price of the option, X Number of months unitl expiration Time until the option expires, t Risk-free rate, rRF 2 Variance, o N(dl) = N(d2) = $32.00 $36.00 5 3.00% 0.32 0.5000 0.5000