Assume That the Current Price of DEY Stock Is $25

question 30

Multiple Choice

Assume that the current price of DEY stock is $25, that a 6 month call option on the stock has a strike or exercise price of $27.50, the risk free rate is 4%, and that you have calculated N(d1) as .5476 and N(d2) as .4432. Use the Black-Scholes model to calculate the price of the option.

• A) $1.74
• B) $4.20
• C) 1.98
• D) $2.50

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Definitions:

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