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A stock trades for $45 per share. A call option on that stock has a strike price of $53 and an expiration date three months
A stock trades for
$45
per share. A call option on that stock has a strike price of
$53
and an expiration date
three
months in the future. The volatility of the stock's returns is
46%,
and the risk-free rate is
6%.
What is the Black and Scholes value of this option?
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