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What is the price of a three-month european call option

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Reference no: EM132892230

Problem 1: Consider a non-dividend-paying stock with a current share price of 160p and a volatility of 30% per annum. Assuming the risk free interest rate is 5% per annum use the Black-Scholes option pricing model to calculate. What is the price of a three-month European call option on the stock with a strike price of 160p?

a. 8.95p
b. 12.45p
c. 14.25p
d. 10.53p

Reference no: EM132892230

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