# Using the Black-Scholes formula, calculate the value of a European call option on South32 Ltd. (S32). South32s current price is

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## Question:

**Using the Black-Scholes formula, calculate the value of a European call option on South32 Ltd. (S32). **

South32’s current price is R48.56,

The exercise price of the contract is R50,

the risk-free rate is 4.5% p.a.

The share has a weekly volatility of 9.00% and has an annual dividend yield of 7.80%.

The option will expire in six months.

**Related Book For**

## Introduction to Management Science A Modeling and Cases Studies Approach with Spreadsheets

ISBN: 978-0078024061

5th edition

Authors: Frederick S. Hillier, Mark S. Hillier

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