Consider a one-period (t=0 and t=1) binomial world, in which the current stock price of 100 can either go up by 30 percent or down by 20 percent.

Assume the probabilities of the uptick and the downtick are 70% and 30%, respectively.

The risk-free rate is 7 percent, and the expected return on the market portfolio is 12%.

Both call and put options with an exercise price of 100 are available in the market.

What is the expected return on the call option?

24.83%

28.43%

34.33%

38.70%

42.16%