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The current price of a non-dividend-paying stock is $30. Over the next six months it...

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Finance

The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume the risk-free rate is zero. An investor sells call options with a strike price of $32. What is the value of each call option?

Select one: a. $2.0 b. $1.6 c. $3.0 d. $2.4

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