Advanced Trading Strategies and Misc. Topics: 1-2 pages

Ricardo International would like you to demonstrate your knowledge of the Black-Scholes option pricing model by finding the call price of an U.S. call option with the following characteristics:

  • stock price = $60
  • exercise price = $60
  • risk-free rate is 12%
  • volatility (variance of stock returns) = 9% per year
  • time to maturity = 6 months
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