Problem $16-35($Algo$)$

Required:

You are attempting to value a call option with an exercise price of $$60$ and one year to expiration. The underlying stock pays no dividends, its current price is $$60,$ and you believe it has a $50\%$ chance of increasing to $$95$ and a $50\%$ chance of decreasing to $$25.$ The risk$-$free rate of interest is $7\%.$ Consider one share of stock and two written calls. Calculate the call option's value using the twostate stock price model. $($Do not round intermediate calculations. Round your answer to $2$ decimal places.$)$

Answer is complete but not entirely correct.

$\backslash$table$[[$Value of the call,S$,56\mathrm{.}07]]$