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A stock is trading at Rs40. It is known that the price of the stock will be either Rs42 or Rs38 after 1 month. The

A stock is trading at Rs40. It is known that the price of the stock will be either Rs42 or Rs38 after 1 month. The risk free interest rate is 8% p.a. with continuous compounding.

What is the value of a 30 day European call option with a strike price of Rs39?

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