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IBM stock currently sells for 92 dollars per share. The implied volatility equals 42.5 percent. The risk-free rate of interest is 3.5 percent continuously compounded.

IBM stock currently sells for 92 dollars per share. The implied volatility equals 42.5 percent. The risk-free rate of interest is 3.5 percent continuously compounded. What is the value of a call option with strike price 89 and maturity of 3 months?

a. 7.6844

b. 5.7968

c. 12.47

d. 9.5721

e. 9.8221

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