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European call option with exercise price

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Reference no: EM133118885

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% pa with continuous compounding. As always chose the answer that is closest to your own calculations.

Reference no: EM133118885

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