Use the Black Scholes formula for the following stock Time to expiration 6 months Standard deviation 60 per year Exercise price $57 Stock price $56 Annual interest rate 3 Dividend 0 Calculate the value of a call option (Do not round intermediate calculations Round your answer to 2 decimal places )

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Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 60% per year Exercise price $57 Stock price $56 Annual

Use the Black-Scholes formula for the following stock:

Time to expiration	6 months
Standard deviation	60% per year
Exercise price	$57
Stock price	$56
Annual interest rate	3%
Dividend	0

Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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