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1 . Consider a single period CRR model wih S 0 = $ 1 0 0 , S 1 = $ 2 0 0 or

1 .

Consider a single period CRR model wih S

0 =

100,

1 =

200

or $

50,

= 0.25 .

(

)

Find the arbitrage free initial price of a European call option for one share of stock where the strike price is K

= 100

and the excercise time T

= 1 .

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