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You are given the following data for a European call option. S 0 $28.00 K $27.00 T 1 You have done some research and found

You are given the following data for a European call option.

S₀

$28.00

$27.00

You have done some research and found through regression analysis that= 8.00 *r.If this relation holds, and the call price is $3, what does Black-Scholes say the volatility must be?Enter in decimals (not percent) using 4 places.

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