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The S&P 500 index currently stands at 2,750 and has a volatility of 20% per annum. The risk-free rate of interest is 3% per annum

The S&P 500 index currently stands at 2,750 and has a volatility of 20% per annum. The risk-free rate of interest is 3% per annum with quarterly comounding and the index provides a dividend yield of 3% per annum continuously compounded. Calculate the value of a three-month European call with an exercise price of 2,800.

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