Binomial Option Pricing Case 1: A stock is currently priced at $39/share and pays no dividends. The periodic risk-free rate of interest is 2%. The up factor of 1.25 and a down factor of 0.8. Binomial Option Pricing Case 1: In a two-period binomial tree option pricing model, if after one period, the stock price moved down, what is the new delta value for a delta-neutral portfolio on a written two-period European call with a strike price equal to $35?

	A.	1.
	B.	0.713
	C.	0.
	D.	0.285.