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You are attempting to value a call option with an exercise price of $120 and...

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Finance

You are attempting to value a call option with an exercise price of $120 and one year to expiration. The underlying stock pays no dividends, its current price is $120, and you believe it has a 50% chance of increasing to $150 and a 50% chance of decreasing to $90. The risk-free rate of interest is 6%. Consider one share of stock and two written calls. Calculate the call option's value using the two-state stock price model. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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