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Calculate the price of the six-month european call

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The stock price of LANCS plc follows the log-normal distribution and its shares currently sell for £45 per share. If the the daily volatility is 1.575% and the continuously compounded riskless interest rate at which investors can borrow and lend is 10% per annum for all maturities, calculate the price of the six-month European call and put options, both with an exercise price of £50. Assume no-dividends.

Reference no: EM132742436

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