1. Lissa Co.\'s stock price is currently $30.25. A 6-month call option on Lissa\

Question

1.       Lissa Co.'s stock price is currently $30.25.  A 6-month call option on Lissa's stock has a strike price of $25 and has an expected volatility of 40% (i.e., expected standard deviation = 40%).  The risk-free rate is 6%.  According to the Black-Scholes option pricing model, what is the value of the option?

Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $25 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option?

Explanation / Answer

value of option =6.9146

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