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A non-divided paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the

A non-divided paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the annual interest rate is 11% (.11) and the annual standard deviation of the stock's returns in 25% (.25).

What is the price of an European call and put option according to the Black-Scholes-Merton option pricing model?

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