Use the Black-Scholes formula for the following stock:

Time to expiration 6 months Standard deviation 58% per year

Exercise price $56

Stock price $56

Annual interest rate 7%

Dividend 0

Recalculate the value of the call with the following changes:

a. Time to expiration 3 months

b. Standard deviation 20% per year

c. Exercise price $64

d. Stock price $64

e. Interest rate 10%

Calculate each scenario independently. (Round your answers to 2 decimal places.)

Value of the Call Option a. b. C. d. C falls to e. C rises to