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Assume that you have an American call option expiring next year with exercise price of $40 on a stock which currently trades at $35. You

Assume that you have an American call option expiring next year with exercise price of $40 on a stock which currently trades at $35. You expect the stock to increase by a factor of 1.18 and decrease by a factor of 0.75. If the interest rate is 6%, the option value today is closest to: Select one: a. $5.93 b. $8.73 c. $8.23 d. $6.29

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