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Question
Mike was granted stock options on 1,000 shares of his employer's stock. The stock is currently selling for $27.70 a share and has a standard deviation of 36 percent. The option's strike price is $27.50 and the time to maturity is 10 years. What is the value of each option given a risk-free rate of 3 percent? Assume that no dividends are paid.A. $14.35
B. $15.67
C. $17.80
D. $20.15
E. $22.70
Answer
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