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) Consider a call option with an exercise price of $65 whose current price is $60. Suppose there are two sub-periods of 6-months each and
) Consider a call option with an exercise price of $65 whose current price is $60. Suppose there are two sub-periods of 6-months each and in each sub-period the stock price can either increase by 20% or decrease by 15% Also suppose that the risk-free rate is 6% per 6-month sub-period. Calculate the value of the call option (C)?
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