Question: (Ref. Unit 12 Exercise 1) A European call option on Amazon stock (AMZN) has a strike price of $96 and matures in a month. AMZN

(Ref. Unit 12 Exercise 1) A European call option on Amazon stock (AMZN) has a strike price of $96 and matures in a month. AMZN pays no dividends and currently sells for $94 per share. The risk -free interest rate is 3% annually, and the annual volatility of the stock return is 28%. What is the Blatk-Scholes value of the AMZN call option? Note: Write your answer in decimal (3 or more decimal places)

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