c. borrwing lending at 5% d. borrowing at less than 5% (by writing calls and buying stock) and lending at 5% e. none of the above for sure since need more information. A stock is currently priced at $40. It is known that at the end of one month it will be either $38 or $42. The risk-free rate is 0.67% per month. The current value of a European call option with an exercise price of $39 is about: a. $0.27 b. $0.54 c. $1.10 d. $1.69 e. $2.44 16. A stock's price is $50. Over each of the next two three-month periods it can go up 6% or down 5%. The annual risk free rate is 5%. The value of a six-month European call option with strike price of $51 is about a. $0.84 b. $1.64 17. c. $1.94 d. $2.49