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What is the value of a european call option

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Reference no: EM132774555

What is the value (CE) of a European Call Option written on a common stock, where:

S0 = $35 X = $35 σ2 = .16 r = .06/annum T = 1 year

Use the Black-Scholes formula and use Excel to find N(·). Show all your work, including your calculations of d1, d2, N(d1), and N(d2)

Reference no: EM132774555

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