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A stock price is currently $ 5 0 . Over each of the next two 3 - month periods it is expected to goup by

A stock price is currently $

50 .

Over each of the next two

3 -

month periods it is expected to goup by

6 %

or down by

5 % .

The risk

-

free interest rate is

5 %

per annum with continuous compounding.What is the value of a

6 -

month European call option with a strike price of $

51 ?

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