You are considering the purchase of a call option on Priceless Packing Inc. Priceless has a current stock price of $40.00 per share with an annual volatility of 45 percent. The exercise price of the option is $38.00 and the riskless rate of interest is 6 percent. If this stock pays no dividends and the option matures in six months, its value is:
e. none of the above
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The solution determines the value of an option.