What is the price of the call if the standard deviation of


A call option has an exercise price of $45 and matures in six months. The current stock price is $51, and the risk-free rate is 3 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call option price.

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Financial Management: What is the price of the call if the standard deviation of
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