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8. (12 marks) A stock price is currently $50. It is known that at the end of two months it will be either $52 or

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8. (12 marks) A stock price is currently $50. It is known that at the end of two months it will be either $52 or $47. The risk free interest rate is 10% per annum with continuous compounding. a) 6 What is the value of a two-month European call option with a strike price of $49? b) 6 What is the value of a two-month European put option with a strike price of $49

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