John is interested in buying a European call option written on ABC, a nondividend paying common stock, with a strike price of $100 and one year until expiration. Currently, ABC stock sells for $80 per share. In one year, John knows the stock will be trading at either $110 or $60 per share. John is able to borrow and lend at the riskfree interest rate of 3 percent per annum (effective annual yield) How much should John expect to pay for his desired call option today? Explain.