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(3) The present price of a stock is $100. The price at time 1 will be either $60, $120, or $200. An option to purchase

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(3) The present price of a stock is $100. The price at time 1 will be either $60, $120, or $200. An option to purchase a share of the stock at time 1 for $80 costs $c. What is the value of c so that there is no arbitrage opportunity? Assume discount factor is 0. (20 points)

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