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Morgan Stanley Finance Analyst Interview Question

I interviewed in New York, NY and was asked:
"2. The current stock price is 10, and it has a probability of 60% to rise to 12, or 40% to drop to 8 at the end of this year? Assume the risk-free rate is 0, what will be the fair at the money call option price?"
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- Anonymous on Jun 18, 2011

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