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Consider a European call option on a non-dividend-paying stock where the stock price is $101, the strike price is $101, the risk-free rate is 10%
Consider a European call option on a non-dividend-paying stock where the stock price is $101, the strike price is $101, the risk-free rate is 10% per annum, the volatility is 50% per annum, and the time to expiration is one year. In a binomial model with one step, what is the fair price of the European call option by the risk neutral method?
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