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Find the value of 1-period call option on 10,000 with a strike of 7,700. i = 14%, i = 7%, S 0(/) = 0.8500/ In

Find the value of 1-period call option on 10,000 with a strike of 7,700.

i = 14%, i = 7%, S0(/) = 0.8500/

In the next year, there are two possibilities: S1(/) = 1.10/ or S1(/) = 0.7

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