dvanced Trading Strategies and Misc. 1 to 2 pages

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