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Assume the lognormal model and Black-Scholes framework, see the problem in attachment 2. Eight months ago, an investor borrowed money at the risk-free interest rate

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Assume the lognormal model and Black-Scholes framework, see the problem in attachment

image text in transcribed
2. 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. nondividendpaying stock. At that time, the price of the call option was 8. 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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