What is the value of a call option if the underlying stock price is $71, the strike price is $73, the underlying stock volatility is 35 percent, and the risk-free rate is 4.8 percent? Assume the option has 132 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.)

What is the value of a call option if the underlying stock price is $71, the strike price is $73, the underlying stock volatility is 35 percent, and the risk-free rate is 4.8 percent? Assume the option has 132 days to expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answer to 2 decimal places.)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Interest rate |||||||||| Value of a call option = = 6 months 56 % per year 55 = 54 6% Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "S" sign in your response.)
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