Consider a European call option on the S&P 500 that is two months from maturity. The current value of the index is 920, the exercise price is 900, the risk-free interest rate is 8 percent per annum, and the volatility of the index is 25 percent per annum. Dividend yields of 0.2 percent and 0.3 percent are expected in the first month and the second month, respectively. What is the value of the call option? Use Derivagem.
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