Corresponding price based on the black-scholes-merton model

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An underlying share for an ATM call option with 6-month maturity and a strike price of $50 entitles its shareholders to get quarterly dividends of $.50.

The next dividend payment will be made in one month.

a) If the annualized implied volatility for the option were 30% (calculated on the basis of continuously compounded returns), and the risk-free interest rate 1.5% p.a., what would be the corresponding call price based on the dividend-adjusted Black-Scholes model?

b) What would be the corresponding price based on the Black-Scholes-Merton model?

Reference no: EM131859492

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