Suppose ABCD's stock price is currently $50. In the next six months it will either fall to $40 or rise to $60. What is the current value of a six-month call option with an exercise price of $50? The six-month risk-free interest rate is 2 percent (periodic rate) .
A) $5.39
B) $15.00
C) $8.25
D) $8.09
Correct Answer:
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