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Consider a European call option written on astock index. The stock's spot price is S0 = 90 and its return volatility is 13% per annum.

Consider a European call option written on astock index. The stock's spot price isS0= 90 and its return volatility is 13% per annum. The callmatures inT= 6 months and its strike price isK= 70. The continuously compounded risk-free rate of interest is 8% per annum. The continously compounded dividend yield is 4% per annum.

Calculate the Black-Scholes price for the European call.

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