Calculate the value of a European call option

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Reference no: EM132211709

Question - Using the Black-Scholes option pricing model, calculate the value of a European call option on S&P500 under the following parameters. Current value of S&P500 is $940, interest rate is 0.17% per year, annualized volatility of S&P500 is 24%, option strike is $950, and option expiration is in 0.25 years. (These are data from the financial crisis period.).

Reference no: EM132211709

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