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You are given the following information about a European call option on Stock XYZ. Use the...

  1. You are given the following information about a European call option on Stock XYZ. Use the Black-Scholes model to determine the price of the option:

Shares of Stock XYZ currently trade for 90.00.

The stock pays dividends continuously at a rate of 3% per year.

The call option has a strike price of 95.00 and one year to expiration.

The annual continuously compounded risk-free rate is 6%.

It is known that d1 – d2 = .3000; where d1 and d2 are defined in the usual manner in the Black-Scholes Model.

       Compute the price of the call option.

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Price of call is 9.5107

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