American call option on a non-dividend-paying stock

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Reference no: EM131066489

Consider a six-month American call option on a non-dividend-paying stock. The stock price is $30, the strike price is $29, and the continuously compounded risk-free interest rate is 6% per annum. The volatility of the stock price is 20% per annum. What is price of the call option?

Reference no: EM131066489

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