Unit 5 Individual Project Black Scholes Option Pricing Model

Assignment Name:

Unit 5 Individual Project

Deliverable Length:

1- 2 pages

Details:

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