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A stock price is currently $110. Over each of the next two six-month periods, it will either increase by 15% or decrease by 8%. The

A stock price is currently $110. Over each of the next two six-month periods, it will either increase by 15% or decrease by 8%. 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 $110? Use no-arbitrage arguments

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