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A stock is trading at $95. The exercise price of its call option is 11% below the trading price of the stock. The expiration is

A stock is trading at $95. The exercise price of its call option is 11% below the trading price of the stock. The expiration is six months. The variance of the stock return is .0144. The annual interest rate is 10%. There is no dividend involved. In this case, according to B&S model, the price of the call option should be

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