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What is the price of a 9-month european call option

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Reference no: EM133000408

Mario & Bros.' stock does not pay dividends. Mario currently trades at $14.50 per share and has an annual volatility σ of 65%. The continuous risk-free rate is 5% per year. What is the price of a 9-month European call option on Mario with an exercise price of $20? Use the Black-Scholes pricing model.

Reference no: EM133000408

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