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ll Black-Scholes assumptions hold. Assume no dividends. The stock price is dallar100. The riskless interest rate is 5% per annum. Consider a one-year European call option struck at-the-money (i.e., strike equals current spot), if the volatility is zero (i.e., sigma = 0), what is the call worth? After valuing the call, please tell me how to hedge the call.

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