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A stock is currently priced at $60. The stock will either increase or decrease by 10 percent over the next year. There is a call
A stock is currently priced at $60. The stock will either increase or decrease by 10 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 3 percent, what is the risk-neutral value of the call option? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Call value $
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