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Options: Pricing a Call with Black-Scholes
Break down the Black-Scholes calculation step by step to price a European Call option.
Quant / TradingAdvancedCalculation
Your trading desk asks you to manually price a European Call to verify the Bloomberg model. Follow the Black-Scholes formula steps.
Given
| Spot price (S) | 100 € |
| Strike (K) | 105 € |
| Volatility (σ) | 25 % |
| Risk-free rate (r) | 3 % |
| Time to expiry (T) | 0.5 ans |
Question 1/3
Step 1. Calculate d1 from the Black-Scholes formula.
Your answerEnter a number in
0/3