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A call option matures in six months. The underlying stock price is $75, and the stock’s return has a standard deviation of 30 percent per year. The risk-free rate is 4 percent per year, compounded continuously. If the exercise price is $0, what is the price of the call option?

10th edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

ISBN: 978-0077861759