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Black–Scholes without a computer · Part 3 of 3
A one-year European call on a stock at $100 has a strike of $100. Volatility is 20%. The stock pays no dividends.
Rates rise to 5% a year, continuously compounded, with everything else unchanged. What is the call worth now? Take N(0.35) = 0.6368 and N(0.15) = 0.5596.
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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