Given the Following Information and Based on the Black-Scholes Option $\bullet$

question 9

Multiple Choice

Given the following information and based on the Black-Scholes option pricing model, calculate the price of the corresponding call option (round to 2 decimal places) .
$\bullet$ current stock price = $50
$\bullet$ strike price = $50
$\bullet$ risk-free rate = 10%
$\bullet$ time to expiration of the option = 3 months
$\bullet$ N(d₁) = 0.5793
$\bullet$ N(d₂) = 0.4602

• A)$0
• B)$5.49
• C)$5.96
• D)$6.52

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