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The current price of a non-dividend-paying stock is $251 and the annual standard deviation of the rate of return on the stock is 50%. A

The current price of a non-dividend-paying stock is $251 and the annual standard deviation of the rate of return on the stock is 50%. A European call option on the stock has a strike price of $330 and expires in 0.25 years. The risk-free rate is 4% (continuously compounded).

What is the value of N(d1) in the Black-Scholes formula? Use Excel's NORM.S.DIST(d1, true) function.

What is the value of N(d2)?

What should be the price (premium) of the call option?

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