Suppose XYZ Corporation's stock price rises or falls with equal probability by $30 each month, starting where it ended the previous month. What is the value of a three-month at-the-money European call option on XYZs stock if the stock is priced at $100 when the option is purchased?

Instruction: Enter your answer to the nearest penny (2 decimal places).

The values of a three-month-at-the-money European call option on XYZ's stock is $