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Estimate the value of the call option

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Reference no: EM132478957

Consider the following call option:

  1. the current price of the stock on which the call option is written is $30.00;
  2. the exercise or strike price of the call option is $25.003;
  3. the maturity of the option is 1 month;
  4. the (annualized) variance in the returns of the stock is 0.1;
  5. the risk-free rate of interest is 4% per annum.

Question 1: Use the Black-Scholes option pricing model to estimate the value of the call option.

Reference no: EM132478957

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