Alpha Stock Is Currently Trading at $34

question 26

Multiple Choice

Alpha stock is currently trading at $34.50 a share and the 6-month call options are at the money.The stock returns have a standard deviation of 21 percent and the risk-free rate is 4.21 percent.What is the price of the call option per share given that N(d₁) is .585508 and N(d₂₎ is .526913?

• A)$1.07
• B)$2.79
• C)$1.38
• D)$2.40
• E)$1.64

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