Problem:
Using the Black-Scholes model to determine the option price for the May 35 call for Chaseys as of April 18, 2005. The expiration date for this option was May 18, 2005. The annualized interest rate on a T-bill that matures that same day is 3.0%. Chasey's stock closed at $36. The historic variance for Chasey's is 0.25. Assume a 365 day year. Please show formula with the given figures.