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The following information was obtained from a prospective investor who intended to buy a call option' i) Current market price is sh. 75 ii) Risk

The following information was obtained from a prospective investor who intended to buy a call option'

i) Current market price is sh. 75

ii) Risk free rate is 12%

iii) Exercise price is sh. 80

iv) Time to maturity is 6 months

v) Standard deviation of the return is 0.45

Required:

Using the Black-Scholes Pricing Model (OPM), calculate the price of call option.

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