What is the time value of the call option

Reference no: EM13300059

An option on a stock has the following data: S = $60.36; E = $60; r = 1.75%; T = 18 days; std dev = 0.674 (i.e. 67.4%); market price of call = $3.50.

1. What is the intrinsic value of the call option?
2. What is the time value of the call option?
3. Using the Black-Scholes model, calculate the hedge ratio, N(d1).
4. Using the Black-Scholes model, calculate N(d2).
5. Calculate the theoretical (fundamental) price of the call based on the Black-Scholes model

Reference no: EM13300059

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