A non-dividend-paying stock is currently traded at $50 and the one-month simple risk-free interest rate is 1%.
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Question:
A non-dividend-paying stock is currently traded at $50 and the one-month simple risk-free interest rate is 1%. Based on the Black-Scholes-Merton model, a one-month European call on this stock with strike $55 has a delta of 0.15 and the risk-neutral probability for the call to expire in the money is 0.12. What is the BSM price for the call?
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