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A stock price is currently $39. It is known that at the end of one month it will be either $42 or $38. The risk-free

A stock price is currently $39. It is known that at the end of one month it will be either $42 or $38. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a one-month European call option with a strike price of $39?

A. 0.35 B. 0.69 C. 0.52 D. 0.99 E. 1.35

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