Solved: What is the value of a one-month european call, Risk Management

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What is the value of a one-month european call

Assignment:

A stock price is currently $40. It is known that at the end od one month it will be either $42 or $38. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $39?

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