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Black-scholes formula for price of call option

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Reference no: EM131571080

The stock of Blackscholesian Co. currently sells for $1S00 per share. The annual stock price volatility is 20%, and the annual continuously compounded risk-free interest rate is 5%.The stock's annual continuously compounded dividend yield is 3%.

a) Find the value of d1 in the Black-Scholes formula for the price of a call option on Blackscholesian Co. stock with strike price $1600 and time to expiration of 3 years.

b) Using the parameters above, calculate the value of d2 c) Use the Black Scholes formula to find the price of a call option on the company's stock.

Reference no: EM131571080

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