What Is the Value of a 6-Month Call with a Strike

question 6

Multiple Choice

What is the value of a 6-month call with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } \text { Stock price } & \$ 17.20 \\\text { Risk-free rate } & 3.75 \text { percent } \\\text { Standard deviation } & 59 \text { percent } \\\mathrm { N } \left( \mathrm { d } _ { 1 } \right) & \mathbf { 0 . 2 6 0 1 6 } \\\mathrm { N } \left( \mathrm { d } _ { 2 } \right) & 0.14456\end{array}$$

• A)$0
• B)$0.93
• C)$1.06
• D)$1.85
• E)$2.14