In the previous problem, assume the risk-free rate is only 4 percent. What is the risk-neutral value of the option now? What happens to the risk-neutral probabilities of a stock price increase and a stock price decrease?

In the previous problem

A stock is currently priced at $58. The stock will either increase or decrease by 13 percent over the next year. There is a call option on the stock with a strike price of $55 and one year until expiration. If the risk-free rate is 6 percent,