Exercise: Computing a Black-Scholes Call Price

Prerequisites: Derivation of the Black-Scholes Formula

Problem

For $S_0=100$, $K=100$, $r=0.05$, $\sigma=0.20$, and $T=1$, compute $d_1$, $d_2$, and the call price using $\Phi(0.35)=0.6368$ and $\Phi(0.15)=0.5596$.

Hint