A stock price is currently $50. It is known that at the end of 2 months it
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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 Europese call option with a strike price of $4? Use no- arbitrage arguments.
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