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A stock price is currently $50. Over each of the next two months it is expected to go up by 8% or down by 6%.

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A stock price is currently $50. Over each of the next two months it is expected to go up by 8% or down by 6%. The risk-free interest rate is 3% per annum with continuous compounding. What is the value of a two-month European call option with a strike price of $22? Draw the tree with your input calculations. Suu fuu Su Sud S. f fud So D. h Sad fdd 19

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