What is value of the call option

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Reference no: EM131921705

This is a binomial call-option pricing question. Suppose there is a stock with current price S0 = 100. There are two possible outcomes, the stock could go up in which case next period the stock is worth 130. If the stock goes down, next period it will be worth 80. The strike price on the call option is X = 110, and the risk-free rate is 10%. What is the value of the call option (that is, what should its price be)?

Reference no: EM131921705

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