Answer question 43 again when 2 = .50. How does a change in the variance of

Answer question 43 again when σ² = .50. How does a change in the variance of the stock’s return affect the value of the call option?

Question 43

Use the Black–Scholes option pricing formula to compute the value of a call option, given the following information:

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S = $55 X = $50 r = .065 t = .5 0.25 Price of stock Exercise price Risk-free interest rate Time until the option expires, in years Standard deviation of the stock's return