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Compute the value of the call option

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"An analyst wants to use the Black-Scholes model to value call options on the stock of Heath Corporation based on the following data: the price of the stock is $70; the strike price of the option is $68; the option matures in 6 months; the standard deviation of the stock's returns is 0.22, and the risk-free rate is 3%. Using the Black-Scholes model, what is the value of the call option?"

Reference no: EM132711584

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