Example 4.

12 The Black-Scholes option Pricing model

current stock price,S=
Exercise Price, E=
Risk-Free interest Rate, R=
Time for expiration (in years), T=
Stock Volatility=
d1=
N(d1)=
N(-d1)=

0.2424
0.5958
0.4042

40.00
40.00
7%
0.4
30%
d2=
N(d2)=
N(-d2)=

0.0527
0.521
0.479