suppose ABC's stock price is $25. In the next six months it will either fal to...

suppose ABC's stock price is $25. In the next six months it will either fal to $15 or it will rise $40. What is the current value of a six month call option with an exercise price of $20? The six month risk free interest rate is 5% (periodic rate). us the risk neutral valuation method

A: $13.10

B: $20

C: $8.57

D: $21.33

E: $9.52

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answer : c : 8.57

jeff jeffy answered 1 year ago

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