What is the value of a 1 year european call option

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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: EM131237320

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