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IBM stock currently sells for 6 4 dollars per share. The implied volatility equals 4 0 . 0 . The risk - free rate of

IBM stock currently sells for

64

dollars per share. The implied volatility equals

40.0 .

The risk

-

free rate of interest is

5.5

percent continuously compounded. What is the value of a call option with strike price

69

and maturity

9

months?

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