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Assume the lognormal model and Black-Scholes framework Eight months ago, an investor borrowed money at the risk-free interest rate to purchase a one-year 75-strike European

Assume the lognormal model and Black-Scholes frameworkimage text in transcribed

Eight months ago, an investor borrowed money at the risk-free interest rate to purchase a one-year 75-strike European call option on a nondividend-paying stock. At that time, the price of the call option was 8. 2. Today, the stock price is 85 You are given: (i) The continuously compounded risk-free rate interest rate is 5%. (ii) The stock's volatility is 26%. Find the current price of the call

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