Problem:
Baddam is considering investing in a call option on Conner Computers stock. The option will expire in one year and the exercise price is $45. The risk-free rate is 6%. Conner Computers is selling for $39 per share and Baddam estimates the variance of the return on the stock is 0.006.
Required:
Question: What is the price of this call option?
Note: Please show how to work it out.