Suppose XYZ Corporation's stock price rises or falls with equal probability by $40 each month, starting where it ended the previous month. What is the value of a three-month at-the-money European call option on XYZ’s stock if the stock is priced at $100 when the option is purchased?
Instruction: Enter your answer to the nearest penny (2 decimal places).
The values of a three-month-at-the-money European call option on XYZ's stock is $.