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Sandy Weill, the chief executive officer (CEO) of Citigroup was granted 10 million options. The stock price at the time of the options grant was

Sandy Weill, the chief executive officer (CEO) of Citigroup was granted 10 million options. The stock price at the time of the options grant was $50. Assume that his options are at the money. The risk-free rate is 7% and the options expire in 5 years. The annual standard deviation of Citigroups stock is 30%.

a) What is the value of a call option on one share of Citigroup stock?

b) What is the value of Mr. Weills options grant?

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