Find the value of call option on the stock

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Reference no: EM132054570

1. Use the Black-Scholes formula to find the value of a call option on the following stock: T = 6 months; ? = 50%; X = 50; S0 = 50; rf = 3%.

2. A call option with X = 50 on a stock currently priced at 55 is selling for 10. Using a volatility estimate of 30%, you find that N(d1) = 0.6 and N(d2) = 0.5. The risk-free rate is 0%. Is the implied volatility more or less than 30%? Explain.

Reference no: EM132054570

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