European call option-price of call option described

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Reference no: EM131354030

Right now, the Chicago Board Options Exchange website shows that there is a European call option on Ford Motor Company stock that matures in exactly 120 days. The option has an exercise price of $25. Also at this moment, the continuously compounded annualized risk free rate is 2.00%. You believe that the volatility of Ford Motor Company stock is such that the standard deviation is 20 percent annually. The current price of Ford Motor Company stock is $22.00. Using the Black-Scholes formula, calculate the price of the call option described above.

Reference no: EM131354030

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