(Answered) What is the price of the call option

Management Studies

Problem: A stock is currently priced at $43. A call option with an expiration of 1 year has an exercise price of $45. The risk-free rate is 4 percent per year, compounded continuously, and the standard deviation of the stock's return is infinitely large.

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Question: What is the price of the call option? Provide your rationale and any supporting data.

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Business Management, Management Studies

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