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A stock price is currently $40. It is known that at the end of one month it will be either $42 or $38. The risk-free

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A stock price is currently $40. It is known that at the end of one month it will be either $42 or $38. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $39? Suppose you can buy or sell the call option in Problem 1 for $5. Construct an arbitrage strategy by delta hedging

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