A stock is trading at $95. The exercise price of its call option is 11% below the trading price of the stock. The expira

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answerhappygod
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A stock is trading at $95. The exercise price of its call option is 11% below the trading price of the stock. The expira

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A stock is trading at $95. The exercise price of its
call option is 11% below the trading price of the stock. The
expiration is six months. The variance of the stock return is
.0144. The annual interest rate is 10%. There is no dividend
involved. In this case, according to Black&Scholes model, what
should the price of the call option be ? $
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