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A stock with a current price of $40 will either move up to $41 or down to $39 over the next period. The risk-free rate

A stock with a current price of $40 will either move up to $41 or down to $39 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 $40? Please show your works. Thanks. A)$0.68 B)$0.49 C)$0.97 D)$1.21 E)$0.86

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