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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 will

A share is currently trading at $100. At the end of each day for the next 60 days, it will change by going up 1% or going down by 1%. Calculate the value of a 60 day European call option with exercise price $100. The risk-free interest rate is 6% p.a. with continuous compounding.

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