Underlying stock price: $100Exercise price: $90Risk-free interest rate: 5%Volatility: 20%Dividend yield: 0%Time to expiration: one year
This value is obtained using the Black-Scholes model for call option without dividends:
So d1=(ln(100/90)+(0.05+0.202/2))/0.2√1=0.8768 and using the table, N(0.88)=0.8106. d2=0.8768-0.2√1=0.6768, so from the table,N(d2)=N(0.68)=0.7517. So the call value is 100(0.8106)-90e(-0.05)(0.7517)=$16.71.
So the call value is 100(0.8106)-90e(-0.05)(0.7517)=$16.71.
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