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A stock price is currently $ 1 0 0 . Over each of the next two 6 - month periods it is expected to go

A stock price is currently $100. Over each of the next two 6-month periods
it is expected to go up by 10% or down by 10%. The risk-free interest rate
is 8% per annum with continuous compounding. What is the value of a 1
-year European call option with a strike price of $100?

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