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Question 34 Black-Scholes Option-Pricing S 45 Current stock price X 50 Exercise price r 5.00% Risk-free rate of interest T 9 months Time to maturity

Question 34

  1. Black-Scholes Option-Pricing
    S 45 Current stock price
    X 50 Exercise price
    r 5.00% Risk-free rate of interest
    T 9 months Time to maturity of option
    Variance 6.308% Stock volatility
    1.

    Call option price = 4.63
    2.

    Call option price = 2.83
    3.

    Call option price = 2.93
    4.

    Call option price = 2.63
    5.

    None of Above

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