2. Calculate the DERIVo for a call option with a exercise price of X=$20 on an underlying asset whose current value is UNDo=$2.00 and whose value in the next year equals UNDup=$30 with a probability of p=60% or UNDdn=$18 with a probability of (1-p)=40%. Let the risk free rate equal Rf=10%.

use

*UNDup + (1+r) = DERIVup and

*UNDdn + (1+r) = DERIVdn

If so, DERIVo = *UNDo + =