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A stock trades for $45 per share. A call option on that stock has a strike price of $54 and an expiration date nine months

A stock trades for

$45

per share. A call option on that stock has a strike price of

$54

and an expiration date

nine

months in the future. The volatility of the stock's returns is

37%,

and the risk-free rate is

4%.

What is the Black and Scholes value of this option?

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