A stock is currently priced at $66. The stock will either increase or decrease by 13 percent

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A stock is currently priced at $66. The stock will either increase or decrease by 13 percent over the next year. There is a call option on the stock with a strike price of $60 and one year until expiration. If the risk-free rate is 6 percent, what is the risk-neutral value of the call option?

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Corporate Finance Core Principles And Applications

ISBN: 9781260571127

6th Edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan

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