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IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5

IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent. The risk-free rate of interest is 7.0 percent continuously compounded. A call option with strike price 45 and maturity 5 months has a delta of 0.56136. What is the value of this call option?

a.

2.5694
b.

0.95552
c.

1.9758
d.

2.2694
e.

1.6465

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