Question: Can you please show your work? Problem 16-35 You are attempting to value a call option with an exercise price of $95 and one year

Can you please show your work?

Problem 16-35 You are attempting to value a call option with an exercise price of $95 and one year to expiration. The underlying stock pays no dividends, its current price is $95, and you believe it has a 50% chance of increasing to $120 and a 50% chance of decreasing to $70. The risk-free rate of interest is 8%. Based upon your assumptions, calculate your estimate of the the call option's value using the two-state stock price model. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Answer is complete but not entirely correct. Value of the call $ 11.57

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