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Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6% per year; Continuously compounded variance = 0.2; Expiration =

Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6% per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option. (Use the Black-Scholes formula.)

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