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All Black-Scholes assumptions hold. Assume no dividends. The stock price is 100. The riskless interest rate is 5% per annum. Consider a 1-year European option

All Black-Scholes assumptions hold. Assume no dividends. The stock price is 100. The riskless interest rate is 5% per annum. Consider a 1-year European option struck at-the-money (i.e. strike equal current spot). If the volatility is zero (i.e. = 0). What is the call worth?

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