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Set-up for all parts: Suppose that the current price of an asset is $80. After six...

Set-up for all parts: Suppose that the current price of an asset is $80. After six months, there are two possible scenarios: S+ =$100 and S- = $50. The exercise price of the call option is $90 and its expiration date is six months from now. The annual risk-free rate is 2%.

C) Using the present cash flow of the arbitrage strategy, compute the size of the call premium?

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call premium= $6.10

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