Consider the following information for an individual stock Current share price is $30 Risk-free rate is 5% pa compounded continuously Volatility of the stock returns (σ) is 30% pa Strike price is $28 Time to maturity of the option is 12 months The firm is expected to pay no dividends over the next 1 year. Use the closed-form Black-Scholes model to price the European call option with the above characteristics 3.67 5.32 9.81 None of the above

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