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Consider a non-dividend-paying stock with a volatility of its logarithm sigma = 0.45. The current price S(0)=S is $43. Find the price of an American
Consider a non-dividend-paying stock with a volatility of its logarithm \sigma = 0.45. The current price S(0)=S is $43. Find the price of an American call option on this stock that expires in 4 months at $40 strike. Current risk-free interest rate is 6% per annum, compounded monthly. Count a month as one period.
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