A stock price is currently 46 over each of the next 2


A stock price is currently $46. Over each of the next 2 6-month periods it is expected to go up by 10% or down by 10%. The risk-free rate is 8% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $50?

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Operation Management: A stock price is currently 46 over each of the next 2
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