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Assume that the stock of South Gate Corporations sells for R108 and is expected to increase by a factor of 1.25 or decline by

Assume that the stock of South Gate Corporations sells for R108 and is expected to increase by a factor of 1.25 or decline by a factor of 0.83 in 10 months. As a portfolio analyst, you find a call option with an exercise price of R111 which expires during the same time that the price of South Gate Corporation is expected to change. If the prevailing risk-free rate is 5.8% per annum (continuously compounded), determine the fair price of this call option? ROUND OFF YOUR ANSWER TO TWO DECIMAL PLACES AND STATE THE NUMERICAL VALUE ONLY. Answer: Next page

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