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A Gap options on a stock have six month to expiry, strike price 42, and the trigger 46.37. The current stock price is S =$45,

A Gap options on a stock have six month to expiry, strike price 42, and the trigger 46.37. The current stock price is S =$45, risk-free rate is r = 8 % and the dividend yields is =0.02. The premium for a gap call option is 5.47754. Determine the volatility of the underlying stock.

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