Suppose ACC's stock price is currently $25.In the next six months it will either fall to $15 or rise to $40.What is the current value of a six-month call option with an exercise price of $20? The six-month risk-free interest rate is 5% per six-month period.[Use the replicating portfolio method.]
A) $20.00
B) $8.57
C) $9.52
D) $13.10
Correct Answer:
Verified
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