I am new into learning option pricing and read that option pricing using binomial valuation does not depend on probabilities (real or risk neutral).
A 1 period binomial tree with $u = 1/d = 1.07$ and $S_0$ = $100.
If the up-move probability $u$ is 0.99 or 0.01, I read that the call option prices is the same and is equal to $4.8. They assumed European style options.
Can someone please help and guide me? Maybe dinner tutorial that explains this? Thanks.