Determine the value of the call option with strike price

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Reference no: EM131339680

DerivativeCo shares are currently trading at $100. The share price is expected to either increase by 5.5% or decrease by 4.5% by the end of 90 days. Given that the risk-free rate is 1.5%, determine the value of the 180-day call option with a strike price of $100/share. Assume 360 days per year.

Reference no: EM131339680

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