Question: Suppose S = 70, X = 66, r = 0.10, p = 0.6, fu = 6.00, fd = 1.00 and there is one period left

Suppose S = 70, X = 66, r = 0.10, p = 0.6, fu = 6.00, fd = 1.00 and there is one period left in an American call's life. What will the option be worth? Select one: a. 1.58 b. 2.62 c. 3.62 d. 4.00 e. 2.99

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