Calculate the value of the call option

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Reference no: EM131866132

You are considering a position as the director of finance in a company listed on a stock exchange. Since the firm is still new, the salary is not that great but your package will include call options on 10,000 shares of the company. The shares are currently selling for $10 per share.The call options granted to you if you accept the job have an exercise price of $10 and expire in three years.The call options cannot be exercised before maturity. The stock volatility is 28% and the 3 year risk free rate is 3.6%. A call with a strike price of $60 costs $6. Calculate the value of the call option.

Reference no: EM131866132

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