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Assuming Google's stock has an implied volatility of 26.60%, use the Black-Scholes option pricing formula and the market data in the table below along with

Assuming Google's stock has an implied volatility of 26.60%, use the Black-Scholes option pricing formula and the market data in the table below along with a risk-free rate of 0.24% per annum, to calculate the value of the 800 January 2014 call call option. Use a 365-day year.


Callsbidaskopen int




14 Jan 300402.9405.94
14 Jan 350355.335834
14 Jan 400308.2311.6471
14 Jan 450263266.525
14 Jan 500220.2223.9229
14 Jan 550181184.7122
14 Jan 600145.2148.6303
14 Jan 650114.3117.3292
14 Jan 660108.5111.663
14 Jan 68097.8101.791
14 Jan 70087.691508

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