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The table below shows three European call options on the same underlying: OPTION TIME TO MATURITY EXERCISE PRICE 1 3 months KES 100 2 6

The table below shows three European call options on the same underlying: OPTION TIME TO MATURITY EXERCISE PRICE 1 3 months KES 100 2 6 months KES 100 3 6 months KES 105 Which option is likely to have the highest value? Explain?

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