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Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $26.50 and has an expected volatility
Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $26.50 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option? Do not round your intermediate calculations. (2 points)
| a. | $5.62 |
| b. | $4.85 |
| c. | $5.14 |
| d. | $5.91 |
| e. | $5.26
|
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