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Business, 11.03.2020 03:33 jboii11

An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: ∙ The price of the stock is $40. ∙ The strike price of the option is $40. ∙ The option matures in 3 months (t = 0.25). ∙ The standard deviation of the stock's returns is 0.40, and the variance is 0.16. ∙ The risk-free rate is 6%.Using the Black-Scholes model, what is the value of the call option?

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