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What is the black-scholes value of the european call

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Reference no: EM132971073

Question - Suppose that you are holding a European call option on General Motors stock that expires in 5 years. The option is currently at-the-money. GM's current stock price is $42.50 and the current yield on a 5-year Treasury bond is 2%. The standard deviation of returns on GM stock is 25%. For the purposes of this series of questions, you should assume that GM does not pay dividends. What is the Black-Scholes value of the European call?

Reference no: EM132971073

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