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Consider an option on a non-dividend-paying stock that follows a GBM. The current stock price is...

Consider an option on a non-dividend-paying stock that follows a GBM. The current stock price
is $80, the exercise price is $80, the continuously compounded risk-free interest rate is 6% per
annua;, the volatility is 30% per annual, and the time to maturity is one year.
(a) What is the BSM-price of the option if it is a European call?
(b) What is the BSM-price of the option if it is an American call?
(c) What is the BSM-price of the option if it is a European put?

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