Question: Assume that the current market price of Montrose Industrials stock is $28 per share and will either rise to $38 per share or fall to

Assume that the current market price of Montrose Industrials stock is $28 per share and will either rise to $38 per share or fall to $21 per share in one month. The risk-free rate for one month is 1 percent. What is the value of a one-month call option with a strike price of $24 per share?

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Fundamentals of Corporate Finance 3rd edition by Robert Parrino, David S. Kidwell, Thomas W. Bates