Call option on non-dividend-paying stock

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Reference no: EM131564418

For a call option on a non-dividend-paying stock, the stock price is $53, the strike price is $45, the risk-free interest rate is 4% per annum, the standard deviation of the stock’s expected return is 40% per annum and the time to maturity is three months. What is the price of the option if it is a European call? (You may want to use a table for N(x), or you can use Excel’s ‘normsdist’ function.

Reference no: EM131564418

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