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A stock price is currently $100. Over each of the next two three-month periods, it is expected to go up by 10% or down by
A stock price is currently $100. Over each of the next two three-month periods, it is expected to go up by 10% or down by 5%. The risk-free interest rate is 6% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $102? Use binomial tree method to solve this problem. You need to include the binomial tree you draw in your submission.
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