Question: Let the current value from production equal V = 100, and this value may move up or down in the next period (t = 1)

Let the current value from production equal V = 100, and this value may move up or down in the next period (t = 1) up to V = 150 and V = 67. Let's assume that at t = 1 the management has the option to invest 90 million to double the production value. The risk-free rate is 2%. You should only consider the periods given.

What is this option worth?

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