Question

Intel Corporation (INTC) stock trades for $55.15 per share. A June 2020 call option on that...

Intel Corporation (INTC) stock trades for $55.15 per share. A June 2020 call option on that stock has a strike price of $49.50 and an expiration date approximately one year in the future. The standard deviation of the stock’s return is 5.10%. The risk-free rate is 1.00%. What is the Black and Scholes value of this call option?

A. $6.15

B. $6.65

C. $7.56

D. $8.03

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Answer #1

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Answer:

Using the black scholes calculator we get the following value for call option

=> $6.15

Or we can use the parameters to use in this equation to receive

C = $6.15

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