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The spot price of an asset is 2 1 5 USD. An 1 8 - months - to - expire call option has a strike

The spot price of an asset is

215

USD. An

18 -

months

-

-

expire call option has a strike price of

240

USD. Within this period, price of the asset either could increase by

25 %,

or could decrease

13 % .

Using the method of replicating portfolios find the fair price of the call option. The

risk free rate of interest is

9 % .

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