12. BlackScholes model (S22-3) Use the BlackScholes formula to value the following options: a. A call option

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12. Black–Scholes model (S22-3) Use the Black–Scholes formula to value the following options:

a. A call option written on a stock selling for $60 per share with a $60 exercise price. The stock’s standard deviation is 6% per month. The option matures in three months. The riskfree interest rate is 1% per month.

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