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A stock price is currently $ 8 0 . Over each of the next two three - month periods it is expected to go up

A stock price is currently $80. Over each of the next two three-month periods it is expected to go up by 15% or down by 12%. The risk-free interest rate is 6% per annum with continuous compounding. Using the Binomial Option Model, what is the value of a six-month European call option with a strike price of $85?

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