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Consider a European call option on a non-dividend-paying stock. The current stock price is $100, and the strike price of the option is $101. The
Consider a European call option on a non-dividend-paying stock. The current stock price is $100, and the strike price of the option is $101. The option expires in six months. The stock price can either go up by 20% or go down by 15%. The risk-free interest rate is 5% per year. Calculate the value of the call option using the binomial option pricing model.
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