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Consider a stock that does not pay dividends and has a stock price of $100 today. The price next period can be either 135 or

Consider a stock that does not pay dividends and has a stock price of $100 today. The price next period can be either 135 or 45. The risk free rate is assumed to be 0%. What is the price of a 1-period call option with strike price 90?

a. $14.29

b. $28 57

c. $22.5

d. $27.5

e. $21.43

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