A stock price is currently selling at sh. 50. It is known that at the end of six months it will be either sh. 45 or sh. 55. The risk-free rate is 10% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of sh. 50?

A stock price is currently selling at sh. 50. It is known that at the end of six months it will be either sh. 45 or sh. 55. The risk-free rate is 10% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of sh. 50?

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