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Using the Black-Scholes-Merton model, calculate the value of an European call option under the following parameters: The underlying stock's current market price is $30; the

Using the Black-Scholes-Merton model, calculate the value of an European call option under the following parameters:

The underlying stock's current market price is $30; the exercise price is $35; the time to expiry is 4 months; the standard deviation is 0.5; and the risk free rate of return is 5%.

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