The shares of toll road operator TransRural currently trade for $15 per share. Over the next 3 months, the shares can either go down to SD = (1-x)*$15 or up to SU = (1+x)*$15 per share. The risk-free rate equals 1+R = 1.03. A 3-month European call option with a strike price equal to $20 trades for a price of $2.04. What is the value of ‘x’, to 1 decimal place?

A. None of the other answers is correct.

B. 5

C. 1

D. 6

E. 5