Question: there are two trading dates, t = 0 and t = T. date 0 price of a stock is S. Between dates 0 and T,

there are two trading dates, t = 0 and t = T. date 0 price of a stock is S. Between dates 0 and T, the stock price can go up by 10%, down by 10%, or stay the same, with equal probability. There is also an asset-or-nothing call option on the stock expiring at T, with strike price 0.475S. The date 0 price of this option is V0. riskfree interest rate=0. V0 = 0.3S. Consider an at-the-money European call option on the stock expiring at date T. Let C be the date 0 price of this option. Calculate C as a function of S. If you cannot price the option exactly (as a function of S), explain and calculate the range of prices that are consistent with no arbitrage.

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