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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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