Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 46% per year Exercise price $48 Stock price $48 Annual interest rate 6% Dividend 0

Recalculate the value of the call with the following changes: a. Time to expiration 3 months b. Standard deviation 30% per year c. Exercise price $56 d. Stock price $56 e. Interest rate 8% Select each scenario independently. (Round your answers to 2 decimal places.)

Value of the call option

a.

b.

c.

d.

e.