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A stock is selling for $20 and the 3 month call option on the stock has exercise price of $20. The continuous risk free rate

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A stock is selling for $20 and the 3 month call option on the stock has exercise price of $20. The continuous risk free rate is 6.4% and the variance of stock returns is 16%. What is the value of the call option? 1) $1.74 2) $1.96 3) $2.14 4) $2.33 5) $2.50

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