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A stock price is currently $ 4 0 . It is known that at the end of one month it will be either $ 4

A stock price is currently $40. It is known that at the end of one month it will be
either $42 or $ 38. The RFR is 8% p.a. with continuous compounding. What is the value of a
one-month European call option with a strike price of $ 39? Use delta neutral approach.

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