use the following Standard Normal Cumulative Distribution Function Table for the value of N(x) used in the Black Scholes Pricing Formula.

Note: To use table, d1 is rounded to the second decimal place and the rounded d1 is used to calculate d2.

Question 12

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What is the price of a $65 strike call? Assume S = $60, = 0.40(continuously compounded annual rate), r = 0.04 (continuously compounded annual rate), Dividend = $5 in 3 months but makes no other payouts over the life of the option (hence = 0). The option expires in 6 months.

Question options:

	$1.09
	$2.76
	$5.14
	$3.15