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A stock price is currently $100. Over each of the next six-month periods it is expected to go up by 10% or down by 10%.
- A stock price is currently $100. Over each of the next six-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 one-year European Call option with a strike price of $100?
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Fixed Income Securities Tools For Todays Markets
Authors: Bruce Tuckman, Angel Serrat
3rd Edition
0470891696, 978-0470891698
