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What is the premium for a call option on a stock with the following characteristics? Current stock price $70 Stock price volatility (standard deviation) 0.0693
- What is the premium for a call option on a stock with the following characteristics?
| Current stock price | $70 |
| Stock price volatility (standard deviation) | 0.0693 |
| Continuously compounded annual risk free rate | 11.94% |
| Strike price (or exercise price) | $80 |
| Time to expiration (in years) | 9 months |
What is the option premium if this option is a European put and the stock will pay a dividend of $3 in six months?
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