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Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 44% per year Exercise price $46 Stock price $45 Annual

Use the Black-Scholes formula for the following stock:

Time to expiration 6 months

Standard deviation 44%

per year Exercise price $46

Stock price $45

Annual interest rate 4%

Dividend 0

Calculate the value of a call option.

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