The price of a certain security follows a geometric Brownian motion with drift parameter u = 0.12 and the volatility parameter o = 0.24. If the current price of the security is $40 and if the interest rate is 10%, then the risk-neutral arbitrage free value of the call option, with a strike price of $50 and having three months until expiration is given by O 87 cents O 5 cents 11 cents O 64 cents

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