A one month european call option is currently selling for


Question: A one month European call option is currently selling for $3.90. The exercise price of the option is $40, and the current stock price is S0 = $43. The monthly interest rate is 0.5% and the monthly volatility of the stock return is at 7%. Does this price present an opportunity for arbitrage, according to B&S?

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Finance Basics: A one month european call option is currently selling for
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