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. O You are given the followings: S(0) = 36 The strike price is 38. The barrier is 42. The annual risk-free interest rate is
. O You are given the followings: S(0) = 36 The strike price is 38. The barrier is 42. The annual risk-free interest rate is 5%, compounded continuously. The annual dividend yield of the stock is 1%, compounded continuously. You are also given the prices of 1-year barriers options as table below: Call Option Put Option Up-and-In 3.38 0.08 Up-and-Out 0.65 C Determine the value of C
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