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Consider a call option that expires in three months on a stock valued at $50 with a strike price of $52. At the end of

Consider a call option that expires in three months on a stock valued at $50 with a strike

price of $52. At the end of each month, the stock will either go up or go down by 10%. It will

go up with a probability of 3/5. Suppose the yearly interest rate is 6%. What is the value of the call at time t=0? i.e. C(0)

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