What Is the Value of a 3-Month Call Option with a Strike

question 64

Multiple Choice

What is the value of a 3-month call option with a strike price of $25 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } \text { Stock price } & \$ 29.30 \\\text { Standard deviation } & 42 \text { percent } \\\text { Risk-free rate } & 4 \text { percent } \\N \left( d _ { 1 } \right) & 0.74699 \\N \left( d _ { 2 } \right) & 0.66642\end{array}$$

• A)$3.38
• B)$3.42
• C)$3.68
• D)$4.27
• E)$5.39

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