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A 3-month call option is trading with an exercise price of US$50. The current price of the underlying stock is US$60. The risk-free rate is

A 3-month call option is trading with an exercise price of US$50. The current price of the underlying stock is US$60. The risk-free rate is 7% compounded continuously and the variance of the stock price return is 14.4%.

  1. What is the intrinsic value of this call option?
  2. Based on the black Scholes model what is the total value of this call option?

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