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Consider a non-dividend paying asset that trades for $98. Over the next six months, analysts expect that it could go up to $114 or down
Consider a non-dividend paying asset that trades for $98. Over the next six months, analysts expect that it could go up to $114 or down to $87. Compute the price of an at-the-money European call option expiring in six months. Assume that the risk-free rate is 6% per year with continuous compounding. Express your answer with two decimals.
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