Use the Black-Scholes formula for the following stock:

Time to expiration 6 months

Standard deviation 57% per year

Exercise price $44

Stock price $44

Annual interest rate 2%

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 $49

d. Stock price $49

e. Interest rate 4%

Calculate each scenario independently. Value of the Call Option