Suppose that a Share price S is currently $100, and that tomorrow it will be $101, with probability P, or $99, with probability 1-p. A call option with value C, has strike price of $100 and expires tomorrow. Set up a Black-Scholes hedged portfolio and hence find the value of C. (Ignore interest rates and assume there is just one price in each day for S or C)

Hint: should be chosen so that d is either the same in either case)