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A stock is currently priced at $37.00. The risk free rate is 3% per annum with continuous compounding. In 4 months, its price will be

A stock is currently priced at $37.00. The risk free rate is 3% per annum with continuous compounding. In 4 months, its price will be either $42.92 or $29.60. Using the binomial tree model, compute the price of a European straddle with strike price $34.65 expiring in 4 months.

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