Question
Use Black-Scholes model to price a European call option
Use the Black-Scholes formula to find the value of a call option based on the following inputs. [Hint: to find N(d1) and N(d2), use Excel normsdist function.] (Round your final answer to 2 decimal places. Do not round intermediate calculations.)
|
|
|
|
| Stock price |
$ |
54 |
| Exercise price |
$ |
63 |
| Interest rate |
|
0.08 |
| Dividend yield |
|
0.04 |
| Time to expiration |
|
0.50 |
| Standard deviation of stock's returns |
|
0.26 |
|
Call value $__________