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Assume the Following Data: Stock Price = $50; Exercise Price

Question 37

Multiple Choice

Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6 percent per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option. (Use the Black-Scholes formula.)


A) $7.62
B) $7.90
C) $5
D) $5.92

Correct Answer:

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