What is the value of a 2 month european call option

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A stock price is currently $50. It is known that at the end of 2 months it will be either $53 or $48. The risk-free interest rate is 10% per annum with continuous compounding.

What is the value of a 2-month European call option with a strike price of $49? Use noarbitrage arguments.

Reference no: EM131237313

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