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What is the current value of a european call option

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Reference no: EM133206270

A share is currently selling at $60 per share. The price of this share may go up to $70 or it may go down to $50 during the next three months. The exercise price of this share is $65. The current risk-free rate of return is 12%.

Using the above information, answer the following questions:

i. What is the probability that share price will go up to $70 during the next three months?

ii. What is the current value of a European call option on this share?

iii. What is the price of a European put option?

Reference no: EM133206270

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