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    Black Scholes Model - Value of a call option

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    For a call option on a non-dividend paying stock, the strike price is $29, the stock price is $30, the risk-free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 3 months. What is the price of the call option?
    a. $2.02
    b. $2.35
    c. $2.67
    d. $2.89
    e. None of the above.

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    Use BLACK SCHOLES Model ...

    Solution Summary

    This solution illustrates how to calculate the value of a call option using black scholes model.