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TSLA stock price is currently at $800. The $1000-strike European TSLA call option expiring on December 18, 2020 has a delta of 0.45. N(d2) of

TSLA stock price is currently at $800. The $1000-strike European TSLA call option expiring on December 18, 2020 has a delta of 0.45. N(d2) of the option is 0.25. Assume zero interest rate and no dividend. Compute the Black-Merton-Scholes value of the call option.

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