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

question 45

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?
Stock 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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Definitions:

Cards

Paper or plastic rectangular pieces, often used for playing a variety of games, or as a medium for storing information such as identification or banking details.

Fair Die

A fair die is a dice designed to have equal likelihoods of landing on any of its faces when thrown.

Events

Occurrences or happenings, especially significant ones within a specified area or context.

Independent

Free from outside control; not depending on another's authority or subject to another's influence.