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You are evaluating a European call option on a no-dividend paying stock that is currently priced...

You are evaluating a European call option on a no-dividend paying stock that is currently priced $42.05. The strike price for the option is $45, the risk-free rate is3% per year, the volatility is 18% per year, and the time to maturity is eleven months. Use the Black-Scholes model to determine the price of the option.

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Answer #1

Using Black Scholes model, we get the value of call option = $2.16 as shown in the figure above.

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