What is the price of the call option

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Reference no: EM132012486

A call option matures in six months. The underlying stock price is $42, and the stock's return has a standard deviation of 26 percent per year. The risk-free rate is 4 percent per year, compounded continuously. If the exercise price is $0, what is the price of the call option? (Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.)

Call option price $

Reference no: EM132012486

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