An Analyst Wants to Use the Black-Scholes Model to Value

question 20

Multiple Choice

An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: Given this information, the analyst then calculated the following necessary components of the Black-Scholes model:
N(d₁) and N(d₂) represent areas under a standard normal distribution function. Using the Black-Scholes model, what is the value of the call option?

• A) $2.81
• B) $3.12
• C) $3.47
• D) $3.82
• E) $4.20

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