What is the value of a 1 year european call option

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Reference no: EM131237318

For the situation considered in Problem, what is the value of a 1-year European put option with a strike price of $100? Verify that the European call and European put prices satisfy put-call parity.

Problem
A stock price is currently $100. Over each of the next two 6-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $100?

Reference no: EM131237318

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