Calculate call option value using state stock price model

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Reference no: EM131786738

Question: You are attempting to value a call option with an exercise price of $109 and 1 year to expiration. The underlying stock pays no dividends, its current price is $109, and you believe it has a 50% chance of increasing to $137 and a 50% chance of decreasing to $81. The risk-free rate of interest is 8%. Calculate the call option's value using the two-state stock price model. (Do not round intermediate calculations and round your final answer to 2 decimal places. Omit the "tiny_mce_markerquot; sign in your response.)

Reference no: EM131786738

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