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Calculate the black-scholes-merton price

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Reference no: EM132986185

Question - The current stock price for ABC is $30. You are pricing a European call option on ABC with a strike price of $31.00 with the following information: the risk free rate (continuously compounded) is 4% per annum. The volatility of ABC shares is 30% and the time to maturity of the option is 6 months. ABC will pay a dividend of $0.50 in two months' time. Calculate the Black-Scholes-Merton price for the European call option.

Reference no: EM132986185

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