You are asked to determine the price of a European call option on a stock. Assuming the Black-Scholes framework holds, you are given:

(i) The stock price is $40.

(ii) The call option will expire in one year.

(iii) The strike price is $35.

(iv) The continuously compounded risk-free interest rate is r = 0.10. (v) = 0.02 (vi) = 0.30

Calculate the price of this call option.[answer:9.01]

I've been using:

Call Option = Current price * e ^{- (dividend yield * time)} * N(d1) - Strike price * e ^{-interest rate * time} * N(d2)

C(St , K, , r, T t, ) = Ste (T t)N(d1) Ker(T t)N(d2) where

d1 = [ln (S_t/K) + (r + 0.5 ² )(T t)]/ [ T t] and

d2 = [ln (S_t/K) + (r 0.5 ² )(T t)]/ [ T t] = d1 T t.