Question 75
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: