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    call option pricing

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    A stock is currently priced at $24 per share, the standard deviation of its return is 60% a year, and the risk free rate is 4 percent per year. The firm pays $0.30 quarterly ($1.20 a year) dividend per share. What is the price of a call option with a strike price of $25 and a maturity of three months?

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    Solution Summary

    Call options are depicted in the solution.