Problem $5$

Intro

The current price of a non$-$dividend$-$paying stock is $$67\mathrm{.}35$ and you expect the stock price to either go up

by a factor of $1\mathrm{.}339$ or down by a factor of $0\mathrm{.}774$ each period for $2$ periods over the next $0\mathrm{.}6$ years. Each

period is $0\mathrm{.}3$ years long.

A European call option on the stock expires in $0\mathrm{.}6$ years. Its strike price is $$67.$ The risk$-$free rate is $6\%$

$($annual$,$ continuously compounded$).$

Part $1$

What is the current value of the option?