A stock trades for 45 per share a call option on that stock, Ask an Expert

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A stock trades for $45 per share. A call option on that stock has a strike price of $50 and an expiration date one year in the future. The volatility of the stocks return is 30%, and the risk-free rate is 2%. What is the Black and Scholes value of this option? Repeat the analysis assuming that the volatility of the stock’s return is 40%. Intuitively, would you expect this to cause the call price to rise or fall? By how much does the call price change?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92167342

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