Assume the Following Data: Stock Price = $50; Exercise Price

question 64

Multiple Choice

Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6% per year; Continuously compounded variance = 0.2; Expiration = three months.Calculate the value of a European call option.(Use the Black-Scholes formula.)

• A)$7.62
• B)$7.90
• C)$5.00
• D)$5.92

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