Principles of Corporate Finance

Call Option

(d 2 ) = - .5056

N(d 2 ) = 1 - .6935 = .3065

(d 2 ) = d 1 - v t

Example
What is the price of a call option given the following?
P = 36 r = 10% v = .40
S = 40 t = 90 days / 365