题目
The current price of a stock is $25. A call option is available with a $20 strike price that expires in three months. If the underlying stock exhibits an annual standard deviation of 25%, the current risk-free rate is 4.5%, N(d1) = 0.9737, and N(d2) = 0.9652, the Black-Scholes-Merton value of the call is closest to:
选项
A.$4.39
B.$4.87
C.$5.25
D.$5.89
答案
C
解析
这道题的计算过程如下：「huixue_img/importSubject/1564170387674238976.png」