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Assume the following for a stock and a call option written on the stock. EXERCISE PRICE = $35 CURRENT STOCK PRICE = $30 VARIANCE =

Assume the following for a stock and a call option written on the stock.

EXERCISE PRICE = $35

CURRENT STOCK PRICE = $30

VARIANCE = .25

TIME TO EXPIRATION = 4 MONTHS

RISK FREE RATE = 4%

Use the Black Scholes procedure to determine the value of the call option.

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