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Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 44% per year Exercise price $46 Stock price $46

Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 44% per year Exercise price $46 Stock price $46 Annual interest rate 4% Dividend 0 Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation c. Exercise price d. Stock price e. Interest rate 3 months 20% per year $52 $52 6% Select each scenario independently. Note: Round your answers to 2 decimal places.

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