8 The current price of a share is 38p and a call option written on this share

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8 The current price of a share is 38p and a call option written on this share with six months to run to maturity has an exercise price of 40p. If the risk-free rate of interest is 10 per cent per annum and the volatility of the returns on the share is 20 per cent, use the Black and Scholes model to estimate the value of the call.

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