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An index has current value of 1105. The index log return follows a normal distribution with annualized volatility equal to 30%. There is a risk-free

An index has current value of 1105. The index log return follows a normal distribution with annualized volatility equal to 30%. There is a risk-free rate in the economy equal to 1% in annualized terms. Price a Call option on the Index with strike equal to 1200 and time to maturity of 9 months using the Black and Scholes model.

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