A stock is currently priced at $64. The stock will either increase or decrease by 10...

A stock is currently priced at $64. The stock will either increase or decrease by 10 percent over the next year. There is a call option on the stock with a strike price of $60 and one year until expiration.

Assume the risk-free rate is 5 percent. What is the risk-neutral value of the option? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)

Call value

$

Expert Solution

jeff jeffy answered 1 year ago

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