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A stock price is currently $60. Over the next three months it is expected to go up by 12% or down by 10%. The risk-free

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A stock price is currently $60. Over the next three months it is expected to go up by 12% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a three-month European call option with a strike price of $62? A. $4.35 B. $1.98 C. $3.22 D. $2.79

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