For a call option on a non-dividend paying stock, the strike price is $29, the stock price is $30, the risk-free rate is 6\% per annum, the volatility is 20\% per annum and the time to maturity is 3 months. What is the price of the call option?
a. $2.02
b. $2.35
c. $2.67
d. $2.89
e. None of the above.Use BLACK SCHOLES Model …This solution illustrates how to calculate the value of a call option using black scholes model.
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