Question: Consider an option on a non - dividend - paying stock when the stock price is $ 3 8 , the exercise price is $

Consider an option on a non-dividend-paying stock when the stock price is $38, the exercise price is $40,
the risk-free interest rate is 6% per annum, the volatility is 25% per annum, and the time to maturity is
nine months.
(a) What is the price of the option if it is a European call?

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