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European call option on the stock

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Reference no: EM133003184

The stock price is currently $40. It is known that at the end of six months, it will be either $45 or $35. The risk-free rate is 8% per year.

-Use the no-arbitrage method to calculate the value of a six-month European call option on the stock with an exercise price of $40.

-Use risk-neutral valuation method to calculate the value of a six month European put option on the stock with an exercise price of $43.

Reference no: EM133003184

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