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The spot price of IBM is $100. Every six months it will either go up by 7% or down by 4%. The risk-free rate is
The spot price of IBM is $100. Every six months it will either go up by 7% or down by 4%. The risk-free rate is 3% per annum with continuous compounding. Compute the price of a 2-year European straddle with strike 105.
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