What is the value of a 6-month european call option

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Question: A stock is currently priced at $95.00. Over each of the next three 2-month periods, it is expected to go up by 10% or down by 10%. The risk-free interest rate is 7% per annum with continuous compounding. What is the value of a 6-month European call option with a strike price of $100.00?
(To do this you will build a 3-stage binomial model. Here you can calculate the value of p with the formula given in the text.)

Reference no: EM133430626

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