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Call options with an exercise price of $49 and one year to expiration are available. The market price of the underlying stock is currently $40,

Call options with an exercise price of $49 and one year to expiration are available. The market price of the underlying stock is currently $40, but this market price is expected to either decrease to $52 or increase to $37 in a year's time. Assume the risk-free rate is 8%. What is the value of the option?

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