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Assume that the current stock price is $25 per share, the exercise price is $26 per share, the risk-free rate is 2.00%, time to expiration

Assume that the current stock price is $25 per share, the exercise price is $26 per share, the risk-free rate is 2.00%, time to expiration is 9 months and the standard deviation of the underlying stock price is 20%. The current European call option price should be closest to:

C. $1.46

B. $1.00

A. $0

D. $2.07

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