What is the value of a three-month at-the-money european, Financial Management

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What is the value of a three-month at-the-money european

Suppose XYZ Corporation's stock price rises or falls with equal probability by $45 each month, starting where it ended the pr month. What is the value of a three-month at-the-money European call option on XYZ's stock if the stock is priced at $100 when the option is purchased? Instructions: Enter your response rounded to the nearest penny (two decimal places).

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