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A stock price is currently $50. It is known that at the end of three months, it will be either $55 or $45. The risk-free

A stock price is currently $50. It is known that at the end of three months, it will be either $55 or $45. The risk-free interest rate is 12% per annum with continuous compounding. What is the value of a three-month European call option with a strike price of $51?

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