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You are given the following information concerning options on a particular stock: Stock price = $81 Exercise price = $65 Risk-free rate = 5% per

  • You are given the following information concerning options on a particular stock:
  • Stock price = $81
  • Exercise price = $65
  • Risk-free rate = 5% per year, compounded continuously
  • Maturity = 8 months
  • Standard deviation = 60% per year
  • What is the intrinsic value of the call option?

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