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A stock price is currently $40. Over each of the next two six-month periods (two step binomial trees ) it is expected to go up
A stock price is currently $40. Over each of the next two six-month periods (two step binomial trees) it is expected to go up %10 or down by 10%. 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 $42? (e=2.71) (Answer is rounded)
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