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Suppose you own a call option on a stock for which the following applies: Underlying stocks price = $60 Exercise price on the option =

Suppose you own a call option on a stock for which the following applies:

Underlying stocks price = $60

Exercise price on the option = $58

Annual risk-free rate = 5 percent

Time to expiration on the option = 3 months

Standard deviation of the underlying stocks return = .12

Calculate the value of the option.

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