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Assume we have a stock currently worth $100. We also assume the interest rate is zero, and we can buy options for this stock with

Assume we have a stock currently worth $100. We also assume the interest rate is zero, and we can buy options for this stock with a strike price of $100. If the stock can rise or fall by $20 with equal probability over the option period, and the option cannot be exercised until the expiration date, what is the time value of the option?

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