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Call Option 7
SP 30
OP V 25
X 5
P 2
The exercise price on one of Flanagan Companys call options is $15, its exercise
value is $22, and its premium is $5. What are the options market value and the stocks
current price?
Call Op 15
EX Value 22
Premium 5
V=P[n(d1)]-Xe^Rrft*[N(d2)]
P 15 P[N(d1) 4.899
N 6m Xe^(Rrf*t) 0.850031
Rrf 0.1 Xe^(Rrf*t)*[N(d2] 0.452658
Xe 15
N(d1) 0.3266
N(d2) 0.53252
V 4.446342