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A stock currently trades at $100. The stock can go up or down by 10% each period. The stock does not pay any dividends. The risk-free rate is 2% per...

A stock currently trades at $100. The stock can go up or down by 10%
each period. The stock does not pay any dividends. The risk-free rate is 2% per period.
There is a European-style option written on this stock that will pay you $10 if the stock
price is somewhere between $95 and $105 at the expiration date. This option matures in
two periods.
a) What is the price of this option?

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