Find the value of a call option based on the inputs

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Use Black-Scholes model to price a European call option

Use the Black-Scholes formula to find the value of a call option based on the following inputs. [Hint: to find N(d1) and N(d2), use Excel normsdist function.] (Round your final answer to 2 decimal places. Do not round intermediate calculations.)





Stock price $ 54
Exercise price $ 63
Interest rate
0.08
Dividend yield
0.04
Time to expiration
0.50
Standard deviation of stock's returns
0.26

Call value $__________

Reference no: EM132036254

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