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Calculate the value of a 4 day european call option

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A share is currently trading at $100. At the end of each day for the next 4 days, it will change by going up 1% or going down by 1%. Using a binomial tree with 4-steps, calculate the value of a 4 day European call option with exercise price $100. The risk-free interest rate is 6% p.a. with continuous compounding.

Reference no: EM132818376

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