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A share is trading at 250 pence in the market. Its volatility is 40 per cent per year and the risk-free continuously compounded interest rate

A share is trading at 250 pence in the market. Its volatility is 40 per cent per year and the risk-free continuously compounded interest rate is 3 per cent per year. The share will pay a dividend of 25 pence in 2 months' time. Using the Black-Scholes-Merton option-pricing model (BSMOPM).



Find the value of a three-month European-style call option on the share with a strike price of 260?

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