Question: Use the Black-Scholes option pricing model for the following problem. Given: S O = $70; X = $60; T = 0.45 year; r = 0.10;

  1. Use the Black-Scholes option pricing model for the following problem. Given: SO = $70; X = $60; T = 0.45 year; r = 0.10; = 0.20 yearly. No dividends will be paid before option expires. Whats the value of the call option?

    A.

    $11.308
    B.

    $12.898
    C.

    $8.251
    D.

    $10.670

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