Use the Black-Scholes option pricing formula to check the accuracy of this pricing. Price the option as if it were July 2019 (so 6 months maturity). Use the following inputs: P = 100, K = 105, interest rate (APR) = 5%, t = 0.5 year, and sigma = 39% for the continuously compounded annual return (0.39 in decimal form). Does the Black-Scholes formula suggest a higher or lower price for this option?

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The price of the call option as per BlackScholes option pricing formula ie 506 is l... View the full answer