A non-dividend paying stock is selling for $52.50.The standard deviation of its returns is 45% p.a.The risk free rate is 4% p.a. (a) What is the value of a call with 6 months to expiry and a strike price of $50?Calculate your answer based on this input table.InputsStandard Deviation (annual) 45%Maturity (in years) 0,50Risk-Free Rate (annual) 4%Exercise Price $50,00Dividend Yield (annual) 0Stock Price=$52.50 $52,50 d1 is: 0,375286

To calculate the value of a call option with 6 months to expiry and a strike price of $50, we can…

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EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 14P

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A non-dividend paying stock is selling for $52.50.
The standard deviation of its returns is 45% p.a.
The risk free rate is 4% p.a.
(a) What is the value of a call with 6 months to expiry and a strike price of $50?
Calculate your answer based on this input table.
Inputs
Standard Deviation (annual)			45%
Maturity (in years)			0,50
Risk-Free Rate (annual)			4%
Exercise Price			$50,00
Dividend Yield (annual)			0
Stock Price=$52.50			$52,50

d1 is:			0,375286