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Assume that stock price for Standard Bank Namibia is trading N$ 30 today. A year from now, Standard Bank Namibia shares are worth N$ 45.

Assume that stock price for Standard Bank Namibia is trading N$ 30 today. A year from now, Standard Bank Namibia shares are worth N$ 45. The T-bill rate between today and a year from now is 10% annually. Consider a European call option written on the one Standard Bank share, which has a strike price of N$35 that matures a year from now. Assume that interest rate is compounded continuously. What is the value of this call option?

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