A stock currently trades for €130 per share. Options on the stock are available with a strike price of €125. The options expire in 10 days. The risk free rate is 3% over this time period, and the expected volatility is 0.35. Use the Black-Scholes option pricing model to calculate the price of a call option.
A) €5.19
B) €4.35
C) €3.93
D) €6.19
E) €8.17
Correct Answer:
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