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Consider a nondividend paying stock. The annual continuously compounded risk-free interest rate is 0.08, and the volatility is 0.3. Consider a 40-strike call with three

Consider a nondividend paying stock. The annual continuously compounded risk-free interest rate is 0.08, and the volatility is 0.3. Consider a 40-strike call with three months to expiration.

(a) What is the option price today if the current stock price is 40?

(b) What is the option price today if the stock price is 40.75?

(c) Estimate the option price found in (b) using the delta approximation.

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