What Is the Value of a 9-Month Call with a Strike

question 31

Multiple Choice

What is the value of a 9-month call with a strike price of €45 given the Black-Scholes Option Pricing Model and the following information?
Share price €48
Exercise price €45
Time to expiration .75
Risk-free rate .05
N(d1) .718891
N(d2) .641713

• A)€2.03
• B)€4.86
• C)€6.69
• D)€8.81
• E)€9.27

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