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Consider a European option on a non-dividend paying stock when the stock price is $25. Continuously compounded risk free interest rate is 10%. Volatility is
Consider a European option on a non-dividend paying stock when the stock price is $25. Continuously compounded risk free interest rate is 10%. Volatility is 30% per annum, and time to maturity is 3-months.
Find the value of the call option at strike price of $26 using the Black-Scholes option pricing model. Show all steps.
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