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What is the value of a four-month european call option

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Reference no: EM132035800

A stock price is currently $80. It is known that at the end of four months it will be either $85 or $75. The risk-free interest rate is 5% per annum with continuous compounding.

What is the value of a four-month European call option with a strike price of $79?

Reference no: EM132035800

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