Value of one year european call option with strike price

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Reference no: EM131541712

A stock price is currently $47. Over each of the next 2 6-month periods it is expected to go up by 10% or down by 10%. The risk-free rate is 6% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $50?

Reference no: EM131541712

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