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The current price of a stock is S = 100. The stock can increase or decrease by 10% per period and it is not expected
The current price of a stock is S = 100.
The stock can increase or decrease by 10% per period and it is not expected to pay any dividend.
The risk free rate is 2.5% per period. Using the Binomial Option Pricing Model, show what the value of a call will be using arbitrage arguments.
Assume the call expires in one period and has a strike price of K = 101.
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