题目内容
Consider a 1-year European call option with an exercise price of EUR 70. The price of the underlying non-dividend-paying stock is EUR 75 and the annual risk-free rate is 4%. The following estimates have been made:Black-Scholes-Merton model $N(d_1)$ = 45%Risk-neutral probability of not exercising the call option at maturity = 63%Which of the following is closest to the price if the call option?
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