You are attempting to value a call option with an exercise price of $100 and one year to expiration. The underlying stock pays no dividends, its current price is $100, and you believe it has a 50% chance of increasing to $120 and a 50% chance of decreasing to $80. The risk-free rate of interest is 10%. a. What will be the payoff to the call, C_u, if the stock goes up?

b. What will be the payoff, C_d, if the stock price falls?

c. Calculate the risk-neutral probability. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

d. Find the value of the option. (Do not round intermediate calculations. Round your answer to 2 decimal places.)