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    Black-Scholes formula: call option price

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    Strike price = $120;
    Expiration time = 1 year;
    Annual interest rate = 0.05;
    Stock volatility = 0.35.
    For the initial stock price, S0 = 100.45


    Find the price of the call option by the Black-Scholes formula rounded
    to the nearest cent.

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    Solution Summary

    This solution calculates the price of a call option using the Black-Scholes formula.