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Price a 6 months European-style call option when the volatility for the first 3 months is 30 per cent per year and the volatility for

Price a 6 months European-style call option when the volatility for the first 3 months is 30 per cent per year and the volatility for the second three-month period is 40 per cent per year. The current stock price is €120, the strike price for the call is €125, and the continuously compounded risk-free interest rate is 4 per cent per year? There are no dividends on the stock. Use 3 month steps?

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