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QUESTION
dvanced Trading Strategies and Misc. 1 to 2 pages
Ricardo International would like you to demonstrate your knowledge of the Black-Scholes option pricing model by finding the call price of an U.S. call option with the following characteristics:
- stock price = $60
- exercise price = $60
- risk-free rate is 12%
- volatility (variance of stock returns) = 9% per year
- time to maturity = 6 months
