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The stock price is currently $110. Over each of the next two six-month periods, it is expected to go up by 12% or down by

The stock price is currently $110. Over each of the next two six-month periods, it is expected to go up by 12% or down by 12%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a one-year European call option with a strike price of $100?

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