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Assume a Stock Price of $31

Question 33

Multiple Choice

Assume a stock price of $31.18, risk-free rate of 3.6 percent, standard deviation of 44 percent, N(d₁) value of .62789, and an N(d₂) value of .54232. What is the value of a 3-month call option with a strike price of $30 given the Black-Scholes option pricing model?


A) $3.38
B) $3.99
C) $3.68
D) $1.76
E) $3.45

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