16. The current price of a non-dividend-paying stock is $55.43 and you expect the stock price to either go up by a factor of 1.308 or down by a factor of 0.765 over the next 0.8 years. A European call option on the stock expires in 0.8 years. Its strike price is $55. The risk-free rate is 2% (annual, continuously compounded).

a. What is the option payoff if the stock price goes up?

b. What is the risk-neutral probability of an up movement?

c. What is the value of the option?