An at- the- money call option with a strike of 50 24 days, Ask an Expert

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An at- the- money call option with a strike of 50, 24 days left to expiration and a risk free rate of 0.25% is trading at $1.03. Using the Black-Scholes formula, what will be the price of this option one day later, assuming that all other inputs remain the same?

a) 0.99 b) 1.01 c) 1.03 d) 1.05

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