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Current share price is $2.90. Exercise price $2.60 in 6 months' time. Risk free rate of interest is 6% p.a. Standard deviation of rate of

Current share price is $2.90. Exercise price $2.60 in 6 months' time. Risk free rate of interest is 6% p.a. Standard deviation of rate of return on share is 40%

a) What is the value of a call option?

b) What is the value of a put option?

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