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What would be the option value

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You have been given the following information on Claiborne Industries:

Current stock price = $35

Option's exercise price = $35

Time until expiration of option = 3 months, or 0.25 of a year

Risk-free rate = 4.5%

Variance of stock price = 0.07

Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places.

Reference no: EM132953060

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