Question: You are given the following information: (use continuous compounding). Current stock price $100 Strike price $100 Annual Volatility () 25% Annual Risk-Free rate 5% Time

You are given the following information: (use continuous compounding). Current stock price $100 Strike price $100 Annual Volatility () 25% Annual Risk-Free rate 5% Time to maturity 3 months (0.25 years) Time step (t) 1 month (1/12 years) Up parameter (U) e^sigmasqrtt Down parameter (D) 1/U Compute the current value of a European call option.

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