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CFA Level 2
Derivatives

ABC Corporation Call Option Price Calculation

Medium Option Valuation Black-scholes Model

ABC Corporation is evaluating the pricing of a European call option using the Black-Scholes model. The current stock price of ABC Corporation is $50, the strike price of the option is $55, the time to maturity is 1 year, the risk-free rate is 5%, and the volatility of the stock is 25%. Based on this information, what is the appropriate value of the call option according to the Black-Scholes formula?

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