Determine the price of the call option

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Let S(t) denote the price at time t of a stock that pays no dividends. The Black-Scholes framework holds. Consider a European call option with exercise date T, T > 0, and exercise price S(0)erT , where r is the continuously compounded risk{free rate. You are given: S(0) = $100; T = 10; Var[ln (S(t))] = 0:4t; t > 0: Determine the price of the call option.

Reference no: EM132018546

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