Find the price of the gap option under black-scholes, Financial Management

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Find the price of the gap option under black-scholes

Introduction to Financial Engineering

could you please show as much of the work as possible please and thank you.

Consider a 1-year gap call option with the following information:

Current stock price of $50

Trigger price is 65

Strike price is $60

Risk free interest rate is .06.

Stock volatility is .40

Dividend yield rate is .03

Find the price of the gap option under Black-Scholes framework.

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Financial Management: Find the price of the gap option under black-scholes

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Financial Management: Find the price of the gap option under black-scholes

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