The Current Stock Price of Johnson and Johnson Is $64

question 62

Multiple Choice

The current stock price of Johnson and Johnson is $64 and the stock does not pay dividends. The instantaneous risk free rate of return is 5%. The instantaneous standard deviation of J&J's stock is 20%. You wish to purchase a call option on this stock with an exercise price of $55 and an expiration date 73 days from now.
-Using the Black-Scholes OPM,the call option should be worth __________ today.

• A) $0.01
• B) $0.08
• C) $9.26
• D) $9.62

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