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The current price of a non-dividend-paying stock is $649 and the annual standard deviation of the rate of return on the stock is 42%. A

The current price of a non-dividend-paying stock is $649 and the annual standard deviation of the rate of return on the stock is 42%. A European call option on the stock has a strike price of $610 and expires in 0.5 years. The risk-free rate is 5% (continuously compounded).

What should be the price (premium) of the call option?

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