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The price of Ervin Corp. stock will either be $65 or $87 at the end...

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Finance

The price of Ervin Corp. stock will either be $65 or $87 at the end of the year. Call options are available with one year until expiration. Continuously compounded T-bills currently yield 4.67 %. Suppose the current price of Ervin stock is $75.

What is the value of the call option if the strike price is $75 per share?

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