Question: Answer must be A, B, or C to be correct. Please explain. Given the following parameters use risk-neutral valuation to value a call option. Current

Answer must be A, B, or C to be correct. Please explain.

Given the following parameters use risk-neutral valuation to value a call option.

Current stock price: $73.00 Stock will increase or decrease next year by: 15 pct. Call Option strike price: $70.00 Time to expiration: 1 year Risk free rate: 8 pct.

A.) Value of call: $9.90

B.) Value of call: $8.19

C.) Value of call: $12.92

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