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CFA Level 2
Derivatives

Black-Scholes Call Option Valuation

Easy Option Valuation Black-scholes Model

Consider a European call option for Company XYZ's stock, which has a current price of $100. The strike price of the option is $95. The option has 6 months to expiration. The annual risk-free interest rate is 4%, and the stock's volatility is estimated to be 20%. Using the Black-Scholes model, what is the theoretical value of the call option?

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