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

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A stock price is currently $50. Over each of the next two three-month periods it is expected to go up by 6% or down by 6%. The risk-free interest rate is 5% per annum with continuous compounding. The stock is expected to pay no dividend over the next six months. What is the value of a six-month European call option with a strike price of $52?

Reference no: EM132473740

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