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Determine the value of the call option

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Question: Mapema ltd shares are currently trading at sh. 4.5 per share. A European call option exists on the shares with an exercise price of Ksh 4.30 with three months to maturity. The risk free rate is 8% and the variance of the rate of return on the share is 10%.

Required Determine the value of the call option using the black - Scholes option pricing model.

Reference no: EM133328326

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