Question 14

The stock of Zebra Analytics is trading at $31.33. One-year call options are available with a strike price of $30. The continuously compounded risk-free rate is 2.3%. Using the Black-Scholes-Merton model, what is the value of the call option? Assume $N(d_1)$ is 0.7324 and $N(d_2)$ is 0.7019.