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A European call option has 8 months to expiry and a strike price of $22. The underlying stock has a current price of $23 and

A European call option has 8 months to expiry and a strike price of $22. The underlying stock has a current price of $23 and volatility () of 0.35 per annum. The riskfree rate of interest is 4% per annum. Calculate d1 as required for the Black-Scholes model. Enter your answer to 2 decimal places.

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