Calculate the call option value of a call option

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Calculate the call option value (Vc) of a call option with Black-Scholes Option Pricing Model Data:

Vc=Current value of the call option, P=current price of the underlying stock, $21

X=Exercise, or strike, price of the option, $18.5

KRF=risk free interest rate, 6%

T=Time until the option expires (the option period)=1 year

σ2=variance of the rate of return on the stock

σ=standard deviation of the rate of the return on the stock 0.376829

Ln(P/X)=national logarithm of P/X

?=exponential function, 2.7183

Reference no: EM132719133

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