In a One-Period Binomial Model,assume That the Current Stock Price

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.The risk-free gross return per time step is 1.001668.If a 98-strike call option is trading at $2,how much arbitrage profit can you make in present value terms?

A) $2.09
B) $4.09
C) $6.09
D) $12.09