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Assume the same data as in Question 2. Specifically, we used a 3-step tree, with each step representing 3 months. We will now consider a
Assume the same data as in Question 2. Specifically, we used a 3-step tree, with each step representing 3 months. We will now consider a European-style call option with 9 months to expiry and strike price of $100. Required: Use the path-probability approach that focuses on the expiry-date distribution of stock price to quickly calculate the current value of the call option.
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