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1. A stock price is currently 100. It is known that the volatility of the underlying stock return is 35%. The risk-free interest rate is

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1. A stock price is currently 100. It is known that the volatility of the underlying stock return is 35%. The risk-free interest rate is 4% per annum with continuous compounding. What is the value of a four-month European call option with a strike price of 100? Use Black-Scholes formula

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