Risk-Neutral Valuation A stock is currently priced at $73. The stock will either increase or decrease by

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Risk-Neutral Valuation A stock is currently priced at $73. The stock will either increase or decrease by 15 percent over the next year. There is a call option on the stock with a strike price of $70 and one year until expiration. If the risk-free rate is 8 percent, what is the risk-neutral value of the call option?

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Corporate Finance With Connect Access Card

ISBN: 978-1259672484

10th Edition

Authors: Stephen Ross ,Randolph Westerfield ,Jeffrey Jaffe

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