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1. Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $28, the annual interest rate is
1.Consider an option on a non-dividend paying stock when the stock price is $30, the exercise price is $28, the annual interest rate is 5%, the annual volatility is 25%, and the time to maturity is 6 months. Show the details of your calculations.
a)(1.5 points) What is the price of the option if it is a European call?
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