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You are considering the purchase of a three-month European call option on a non-dividend-paying stock. You are given the following information: The current stock price

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You are considering the purchase of a three-month European call option on a non-dividend-paying stock. You are given the following information: The current stock price is 60.0 The strike price is 58. The annual risk-free interest rate is 12%, compounded continuously. The annual volatility of the stock is 33% Assuming the stock follows the Black Scholes framework. Determine the price of this option. Choose one answer. A. 6.98 B. 7.81 C. 0.47 D. 6.07 E. 5.13 F. 3.64 G. 4.12 H. 3.00

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