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Why is the answer as followed? Question 14 1 / 1 pts Stock ABC is currently trading at $40. The annual variance of stock return

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Why is the answer as followed?

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Question 14 1 / 1 pts Stock ABC is currently trading at $40. The annual variance of stock return is 0.0144 and the continuously compounded interest rate is 1.5% per annum. Use the Black- Scholes model to value a 3-year call option with an exercise price of $45. O $0.19 O $9.76 correct! O $3.51

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