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Suppose the stock price is 40$ and we need to price a European call option with a strike of 45$ maturity in 6 months. The

Suppose the stock price is 40$ and we need to price a European call option with a strike of 45$ maturity in 6 months. The stock is not expected to pay dividends. The continously compounded risk free rate is 5%. The mean return of the stock is 7%, standard deviation of the stock return is 30%.

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