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The current price of a non-dividend-paying stock is $40. A European call option with three months maturity and strike of $38 is priced at $2.

The current price of a non-dividend-paying stock is $40. A European call option with three months maturity and strike of $38 is priced at $2. The risk-free rate of interest for three months is 2%. Which of the following statements is correct?

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