A Stock with a Current Price of $43 Will Either

Multiple Choice

A stock with a current price of $43 will either move up by a factor of 1.20 or down by a factor of .80 each period over the next two periods. The risk-free rate of interest is 3%. What is the current value of a call option with a strike price of $45?

A) $4.38
B) $4.55
C) $4.72
D) $5.16
E) $5.27