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Consider the valuation of a European call on stock XYZ with a strike price of $111 and a term to maturity of three months. Assume

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Consider the valuation of a European call on stock XYZ with a strike price of $111 and a term to maturity of three months. Assume the stock price is $100 today and it has a lognormal distribution with volatility of 40% over the life of the option. In addition, the continuously compounded risk-free rate is 2% per year. Using the Black-Scholes formula, answer the question below. a. What is the theoretical value of the call

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