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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 1 0 0

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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