A call option expires in one year and has a strike price of…
A call option expires in one year and has a strike price of K=$105. The current stock price is S0=$100S_0 = \$100. The one-year risk-free interest rate is r=10%. It is known that in one year the stock price will be either S1=$120S_1 = \$120, or S1=$110S_1 = \$110. Using this information, determine the value today of the call option.