Question: Use the Black - Scholes OPM for this problem: A stock currently sells for $ 4 3 . 5 0 and pays no dividends. A

Use the Black-Scholes OPM for this problem: A stock currently sells for $43.50 and pays no dividends. A call option (striking price $45) on this security expires in sixty-seven days. At present, U.S. Treasury bills are yielding 5.3 percent per year. You estimate the past volatility of the stock returns to be 44 percent. According to the Black-Scholes OPM, what is the value of this call?

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