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Calculate the value of a 60-day european call option

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A share is currently trading at $100. At the end of each day for the next 60 days, it will change by going up 1% or going down by 1%. Calculate the value of a 60-day European call option with exercise price $100. The risk-free interest rate is 6% p.a. with continuous compounding.

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Reference no: EM133119657

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