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Concord's stock is currently selling for $40.00 a share but is expected to decrease to either...

Concord's stock is currently selling for $40.00 a share but is expected to decrease to either $36 or $44 a share over the next year. The risk-free rate is 3 percent. What is the current value of a 1-year call option with an exercise price of $40?

a $0.98

b $1.73

c $2.52

d $0.56

e $3.10 5 points

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