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2 . The current price of Old Mutual stock is $ 2 0 . The annual standard deviation of the stock is 1 4 %

2. The current price of Old Mutual stock is $20. The annual standard deviation of the stock is 14%. The risk-free rate is 4% per year. Assume that Old Mutual stock pays no dividends. Using the information given, you are required to compute the value of a two-year American call option with a strike price of $20.[25]

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