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A stock with a current price of $37 will either move up by a factor of 1.20 or down by a factor of 0.80 each

A stock with a current price of $37 will either move up by a factor of 1.20 or down by a factor of 0.80 each period over the next two periods. The risk-free rate of interest is 4 percent. What is the current value of a call option with a strike price of $40?

Multiple Choice

$4.16

$4.42

$4.71

$5.09

$5.13

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