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An at-the-money three-month European call option on a non-dividend-paying stock has a market price of $1.27. The stock price is $20 and the risk-free interest

An at-the-money three-month European call option on a non-dividend-paying stock has a market price of $1.27. The stock price is $20 and the risk-free interest rate is 8% per annum, with continuous compounding. Verify that the implied volatility is about 27%.

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