Use the Black-Scholes Formula to Find the Value of a European

question 48

Multiple Choice

Use the Black-Scholes formula to find the value of a European call expiring in one year with an exercise price of $100 for a share currently selling for $90.Assume the standard deviation of the continuous rate of return is 30% p.a.and the risk-free interest rate is 10% p.a.

• A)$0.55
• B)$0.43
• C)$10.52
• D)$9.93

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