A European call option on shares has three months to expiry. The current share price is 3
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A European call option on shares has three months to expiry. The current share price is £3 and the exercise price of the option is £2.50. The standard deviation of the share is 20 per cent, and the risk-free rate is 5 per cent. Use the Black–Scholes model to value the call option of a share.
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