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A European cash-or-nothing call pays its holder a fixed amount F if the price at expiration time is larger than K and pays 0 otherwise.

A European cash-or-nothing call pays its holder a fixed amount F if the price at expiration time is larger than K and pays 0 otherwise. Find the risk-neutral valuation of such a call one that expires in 4 months time and has F=100 and K= 45 if the present price of the security is 40, its volatility is 0.32, and the interest rate is 6%.

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