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The assumptions for the Black - Scholes model hold. Suppose you have a one year European call option on a stock. There are no dividends.

The assumptions for the Black - Scholes model hold. Suppose you have a one year European call option on a stock. There are no dividends. The risk-free interest rate is 0. The stock price is 100 USD and the option is at the money. The standard deviation of stock returns is 10% p.a. The price of the call is closest to: A 10 B 8 C4 D 5 E 6

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