Apply the Black-Scholes Formula to the Pricing of a 6-Month

question 101

Multiple Choice

Apply the Black-Scholes formula to the pricing of a 6-month call option with an exercise price of $98 on a stock with a current price of $98.The standard deviation of the annual stock return is 32%.The 6-month interest rate is 2.5%.

• A)$9.96
• B)$8.11
• C)$7.47
• D)$10.45