You want to price a European call option on stock X, which currently trades at $40 per share (this stock does not currently pay dividends).

Suppose there are two possible outcomes for share prices of stock X next period: It can go up by 15%, or it can drop by 10%.

The option expires in one period, and has a strike price of $41. The risk-free rate over the next period is 5% (you can lend and borrow at the riskless rate). Markets are efficient and there are no arbitrage opportunities.

What is the value of this call option today - i.e., what is the call premium?