What is the value of a 6 month european call option

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A stock price is currently $50. Over each of the next two 3-month periods it is expected to go up by 6% or down by 5%.

The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a 6-month European call option with a strike price of $51?

Reference no: EM131237303

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