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The 6-months risk free rate is equal to 2% (Rf = 2%). By the end of the 6 months period the stock will either increase

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The 6-months risk free rate is equal to 2% (Rf = 2%). By the end of the 6 months period the stock will either increase by a factor of 1.3 or fall by a factor of 0.8. The current stock price is $110. Find the current price of the one year At the Money Call option relying on the replication approach. Use four decimal places in all calculations. O a. 17.5479 O b. 18.9245 O c. 77.3829 O d. None of the given choices is correct O e. 70.2101

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