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Consider an option on a non-dividend paying stock where the stock price is $30, the strike price is $29, the continuously compounded risk-free rate of
Consider an option on a non-dividend paying stock where the stock price is $30, the strike price is $29, the continuously compounded risk-free rate of return is 5% per year, the continuously compounded standard deviation of its return is 25% per year and the time to maturity is 4 months.
Using the Black-Scholes model, the price of a European call on the stock is closest to what number?
A) $4.50
B) $2.50
C) $3.50
D) $5.50
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