What Is the Value of a Call Given the Black-Scholes

question 28

Multiple Choice

What is the value of a call given the Black-Scholes model and the following information? Stock price = $44,Exercise price = $40,Time to expiration = .75,Risk-free rate = 4.5%,Standard deviation = 25%,N(d₁) = .759395,and N(d₂) = .687172.

• A)$2.03
• B)$4.86
• C)$6.84
• D)$8.81
• E)$9.27

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