A stock with a current price of $20 will either move up to $22 or down to $18 over the next period. The risk-free rate of interest is 2.45 percent. What is the value of a call option with a strike price of $20?

a.

$1.96

b.

$1.03

c.

$1.22

d.

$0.86

c.

$1.31