3. A call option enables the holder to acquire one share of stock at $45 a share...

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3. A call option enables the holder to acquire one share of stock at $45 a share for each option held. The option has 6 months until its expiration. The market price of the stock is currently $40 a share, and the expected standard deviation of its continuously compounded return over the near future is .30. The shortterm annual interest rate is 10 percent.

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