What is the risk-neutral value of the call option

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Reference no: EM131050258

A stock is currently priced at $86. The stock will either increase or decrease by 20 percent over the next year. There is a call option on the stock with a strike price of $85 and one year until expiration.

If the risk-free rate is 3 percent, what is the risk-neutral value of the call option?

Reference no: EM131050258

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