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A Stock Currently Trades for €130 Per Share

Question 8

Multiple Choice

A stock currently trades for €130 per share. Options on the stock are available with a strike price of €125. The options expire in 10 days. The risk free rate is 3% over this time period, and the expected volatility is 0.35. Use the Black-Scholes option pricing model to calculate the price of a call option.


A) €5.19
B) €4.35
C) €3.93
D) €6.19
E) €8.17

Correct Answer:

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