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Question
You have been granted stock options on 300 shares of your employer's stock. The stock is currently selling for $37.80 and has a standard deviation of 30 percent. The option's strike price is $35 and the time to maturity is 10 years. What is the value of each option given a risk-free rate of 3.0 percent? Assume that no dividends are paid.A. $12.95
B. $14.47
C. $16.68
D. $18.39
E. $20.01
Answer
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