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Alpha Stock Is Currently Trading at $34

Question 26

Multiple Choice

Alpha stock is currently trading at $34.50 a share and the 6-month call options are at the money.The stock returns have a standard deviation of 21 percent and the risk-free rate is 4.21 percent.What is the price of the call option per share given that N(d1) is .585508 and N(d2) is .526913?


A) $1.07
B) $2.79
C) $1.38
D) $2.40
E) $1.64

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