The following is the Black-Scholes formula for the value of a call European option: $$ C(s) = N(d_1)S-N(d_2)K $$ $$ d_1 = \frac{1}{\sigma \sqrt{T}} \left[ \ln{\frac{S}{K}}+ \frac{\sigma^2}{2}T \right] $$ $$ d_2 = d_1 - \sigma \sqrt{T} $$ where
- $N$ is the cumularive distribution function of the standard normal distribution
- $T$ is time to expiration
- $S$ is the spot price of the underlying,
- $K$ is the strike price of the option
- $\sigma$ is the volativity of the returns of the underlying
A European call option can only be exercised at expiration time. What is the option value if $K=0$?
I think answer should be $0$, not sure though