The Current Price of a Stock Is $50

Multiple Choice

The current price of a stock is $50.This includes the value of a dividend of $2 that will be paid three months from now.In three months,the net of dividend stock price will rise by a factor of 1.2 or fall by a factor of 0.8.The risk-free rate of interest is 0.0834% per month (simple interest) .Using the technique of Schroder (1988) ,what is the price of a six-month American call option at a strike of $51?

A) $3.62
B) $4.12
C) $4.62
D) $5.12