Assume that stock price for Standard Bank Namibia is trading N$ 30 today. A year from now, Standard Bank Namibia shares are worth N$ 45. The T-bill rate between today and a year from now is 10% annually. Consider a European call option written on the one Standard Bank share, which has a strike price of N$35 that matures a year from now. Assume that interest rate is compounded continuously. What is the value of this call option?

Answer rating: 100% (QA)

To value the European call option we can use the BlackScholes formul... View the full answer