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Consider a European call option on an index that is two months from maturity. The current value of the index is 940, the exercise price
Consider a European call option on an index that is two months from maturity. The current value of the index is 940, the exercise price is 900, the risk-free interest rate is 8% per annum, and the volatility of the index is 20% per annum. The dividend yield is 3%. Calculate the call option price in accordance with the BSM formula.
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