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A stock is currently trading at $25. Over the next 6 periods, it is expected to go up by 10% or down by 10%. Assume
A stock is currently trading at $25. Over the next 6 periods, it is expected to go up by 10% or down by 10%. Assume that the risk-free rate of interest is 3% per annum. a. What is the value of a six-month European call option with an exercise price of $22? b. What is the value of a six-month European put option with an exercise price of $32>
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