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The common shares of Twitter Inc. recently traded on the New York Stock Exchange for $21.10 per share. You have employee stock options to purchase 1000 Twitter shares for $19.90 per share. The options expire in three years. Assume that the annualized volatility of Twitter stock is 88.0% and that the interest rate is 2.3%. Assume the options are European options that may only be exercised at the maturity date.

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