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A stock currently trades at a price of 50. Assume that after two months the stock price will either be a multiple of u =

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A stock currently trades at a price of 50. Assume that after two months the stock price will either be a multiple of u = 1.06 or d = 0.96 of its current price. The risk-free interest rate is 10% per annum with continuous compounding. Determine the value of a two-month European call option with a strike price of 49 using risk-neutral valuation

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