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Please show your work. Given the following parameters use risk-neutral valuation to value a call option. Current stock price: $65.00 Stock will increase or decrease

Please show your work. Given the following parameters use risk-neutral valuation to value a call option.

Current stock price: $65.00

Stock will increase or decrease next year by: 15 pct.

Call Option strike price: $60.00

Time to expiration: 1 year

Risk free rate: 8 pct.

A) Value of call: $10.47

B) Value of call: $9.44

C)Value of call: $13.66

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