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Option pricing Under Lognormal Distribution Underlying current at $100 with annual return volatility of 45%. There are 28 days b/f expiration. Risk-free rate is zero.

Option pricing Under Lognormal Distribution

Underlying current at $100 with annual return volatility of 45%. There are 28 days b/f expiration. Risk-free rate is zero.

Consider a CALL option with strike at $92.5.

1) How much should the CALL be priced at today?

2)How much of the option price is time value and how much is intrinsic value?

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