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NNT Ltd pays no dividends and has a current stock price of $20 per share. Its returns have an annual volatility of 15% and the

NNT Ltd pays no dividends and has a current stock price of $20 per share. Its returns have an annual volatility of 15% and the risk free interest rate is 4% per annum. (i). Calculate the value of a one-year at-the-money call option using the Black Scholes model.

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