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A call option on a non-dividend-paying stock has a market price of $2.60. The stock price is $15, the exercise price is $13, the time

A call option on a non-dividend-paying stock has a market price of $2.60. The stock price is $15, the exercise price is $13, the time to maturity is three months, and the risk-free interest rate is 5% per annum. What is the implied volatility?

Group of answer choices

31.83

32.25

40.95

44.42

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