Use the Black-Scholes Model to Determine the Option Price for the May

question 1

Essay

Use the Black-Scholes model to determine the option price for the May 35 call for Nibblers as of April 18, 2011. The expiration date for this option is May 18, 2011. The annualized interest rate on a T-bill that matures that same day is 3.0%. Nibblers stock closed at 36. The historic variance for Nibblers is .25. Assume a 365 day year.

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