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The current price of a stock is $100. Every three months, it is expected to go up or down by 11% or 15%, respectively. The
The current price of a stock is $100. Every three months, it is expected to go up or down by 11% or 15%, respectively. The stock pays a dividend yield of 7% per year and the risk-free rate is 7% per year with continuous compounding. Compute the price of an America call option with strike price $98 and maturity six months written on the stock.
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