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  3. you are attempting to value a call option with an

You are attempting to value a call option with an exercise price of $102 and...

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Finance

You are attempting to value a call option with an exercise price of $102 and one year to expiration. The underlying stock pays no dividends, its current price is $102, and you believe it has a 50% chance of increasing to $121 and a 50% chance of decreasing to $83. 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. Round your final answer to 2 decimal places.)

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