Note that this table of options prices is correct for standard call option with a strike price of $0.65, a time to maturity of 1 year, and a risk-free rate of r=0%.
However PAROA is not a standard call option. It is an exotic call option, with a different payoff on exercise than a normal call option (i.e. you get both 1 PAR share and half a piggy). The correct B&S option prices are shown in the table below.
Also note that the true value of an option can be higher or lower than the B&S "option price". The true value of an option can only be accurately calculated if you can estimate the real probability that a stock will be trading at various prices (S_T) on the expiry date, whereas the Black-Scholes model uses a "risk-neutral" probability measure (which is essentially just a probability measure which prevents arbitrage).
This is why the B&S option price is a function of the current stock price and assumes that the (discounted) expected payoff of holding PAR stock is zero.
In general, if you think a stock is "undervalued", then (most of the time) long expiry call options on that stock will also be "undervalued" (even if the call option price is above the B&S option price).
PAR Price at posting:
56.0¢ Sentiment: Buy Disclosure: Held
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