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A stock price is currently $ 2 0 2 5 . It is known that at the end of three month it we $ 2

A stock price is currently $

2025 .

It is known that at the end of three month it we $

2100

or $

1953 .

The risk

-

free interest rate is

6 %

per annum with continuous compounding. What is the value of a three

-

month European call option with a strike price of $

2020 ?

Use the binomial tree approach to value the call option:

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