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1. (1.5 points) Consider a 3-month at-the-money European call option on the S&P 500 index. The current level of the index is 2,700. The annual

1.(1.5 points) Consider a 3-month at-the-money European call option on the S&P 500 index. The current level of the index is 2,700. The annual interest rate is 2.6%. The dividend yield of the index is 2%. The annual volatility of the index is 22%. Find the price of the option.

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