Question: Please help me on this question QUESTION 8 A non-dividend-paying stock is currently priced at $7. Its price follows a geometric Brown- ian motion and

Please help me on this question

QUESTION 8 A non-dividend-paying stock is currently priced at $7. Its price follows a geometric Brown- ian motion and has volatility o = 40% per annum. The continuously compounded riskfree rate is 5% per annum. Use the Black-Scholes model to calculate the price of a European call option, written on this stock, with time to maturity of 1 year and a strike price of $6.50. [Total: 4 marks]

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