Consider a 9-month European call option with a strike price of $40 on a stock that sells
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Question:
Consider a 9-month European call option with a strike price of $40 on a stock that sells for $35 today. If the annual risk-free rate (continuously compounded) is 8%, the stock pays no dividends, and the stock's annual volatility is 40%, then the Black-Scholes price for this option (rounded to the nearest cent) is
- $6.44
- $3.77
- $5.84
- $8.12
- None of the above
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