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A stock is currently trading at 4 0 . Assume that at the end of one month it will either be 4 2 or 3

A stock is currently trading at 40. Assume that at the end of one month it will either
be 42 or 38. The risk-free interest rate is 8% per annum. The value of a call option with a
maturity of 1 month and a strike price of 39 written on the stock is closest to

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