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Suppose the spot price of company A's share is $80 in the market. It can change 20% in a month with equal probabilities. How much
Suppose the spot price of company A's share is $80 in the market. It can change 20% in a month with equal probabilities. How much is the price of European call option with strike price of $80, given the annual risk free interest rate is 5%? How the price will change if the likely changes are now 10%. Use the Black-Scholes Model.
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