Calculate call option value using the two-state stock

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Reference no: EM131910579

You are attempting to value a call option with an exercise price of S107 and 1 year to expiration. The underlying stock pays no dividends, its current price is $107, and you believe it has a 50% chance of increasing to $123 and a 50% chance of decreasing to S91. The risk-free rate of interest is 12%. Calculate the call option's value using the two-state stock price model. (Do not round intermediate calculations and round your final answer to 2 decimal places. Omit the "$" sign in your response.)

Call option's value

Reference no: EM131910579

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