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A share is currently trading at $ 1 0 0 . At the end of each day for the next 6 0 days , it

A share is currently trading at $100.At the end of each day for the next 60days, it will change by going up 1%or going down by 1%.Calculate the value of a 60day European call option with exercise price $100.The risk-free interest rate is 0%p.a.with continuous compounding.

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