A stock price is currently 40 it is known that at the end, Financial Management

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A stock price is currently 40 it is known that at the end

A stock price is currently $40. It is known that at the end of one month it will be either $42 or $38. The risk free interest rate is zero.

Use the risk neutral probability measure approach to find the price of a one-month European call option with a strike price of $39.

Construct a replicating portfolio.

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Financial Management: A stock price is currently 40 it is known that at the end

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Financial Management: A stock price is currently 40 it is known that at the end

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