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In what follows Bt denotes a Brownian motion Consider the Black-Scholes model for the price of stock St So 1, and savings account Denote by

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In what follows Bt denotes a Brownian motion Consider the Black-Scholes model for the price of stock St So 1, and savings account Denote by Ct the price at time t, of the call option on this stock with exercise price K = 1 and expiration date T = 1, t 1, By = e uoting an appropriate result, give the expression for C

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