Question: Given current asset price = 50; strike price = 50; risk-free rate = 1%; time to expiration of the option = 2 years; N(d1) =

Given current asset price = 50; strike price = 50; risk-free rate = 1%; time to expiration of the option = 2 years; N(d1) = 0.5793;N(d2) = 0.4602.Based on the Black-Scholes option pricing model, calculate the price of the corresponding call option. (round to 2 decimal places).

Question 20 options:

a) 0

b) 5.49

c) 5.96

d) 6.41

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