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1. (a) Using Black-Scholes, calculate the value of an American call option with So = 55, K = 65, r = 0.05, o = 0.35

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1. (a) Using Black-Scholes, calculate the value of an American call option with So = 55, K = 65, r = 0.05, o = 0.35 and T = 1 year. (b) Given a European call option with So = 55, K = 58, r = 0.05, T = 6 months, and o = 0.40, calculate A, I and e

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