What is the value of a six-month european call option, HR Management

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

Problem

A stock price is currently $40. Over each of the next two three-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $42? Draw out the binomial tree with stock price (above) and option price (below) at each node.

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