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Second option that has an exercise price

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Reference no: EM131742332

A share of XYZ stock sells for $75 and has a standard deviation of returns of 20 percent per year. The current risk free rate is 9% and a call option with a strike price of $70 expires in 3 months. Using the Black-Scholes formula, what is the value of the call option? What is the value of a second option that has an exercise price of $75? (priced at the current stock price).

Reference no: EM131742332

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