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12. Let St be the price of a stock at time t, with t expressed in years. You are given: is lognormally distributed. The continuously compounded expected rate of return on the stock is 5 percent The annual volatility of the stock price is 30 percent. o . The stock pays no dividends. So=40. A one-year European call option has a strike price of 45. Determine the expected payoff on the option, given that the option pays off. 3.57 (B) 3.84 (C) 7.35 8.97(E) 10.88