Question: Use the following data to value call options on the stock of AABC Corporation. Stock price $35. Strike price of option $35. Option matures in

Use the following data to value call options on the stock of AABC Corporation.

Stock price $35.

Strike price of option $35.

Option matures in 6 months

Standard deviation of the stock's returns is 0.40, and the variance is 0.16.

Risk-free rate is 2%.

d1 = 0.175

d2 = 0.025

N(d1) = 0.56946

N(d2) = 0.49003

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