Question: A share is trading at 45, with a 6% continuous dividend yield and 20% annualized volatility. A one-year call option on this share has strike

A share is trading at 45, with a 6% continuous dividend yield and 20% annualized volatility. A one-year call option on this share has strike price 42. The continuous risk-free rate is 3%. Risk factors are: d1 = 0.498, N(d1) = 0.931, d2 = 0.298, N(d2) = 0.917. Calculate the value of the call option using the Black-Scholes-Merton model

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