Suppose a Stock Is Currently Trading for $35,and in One

Multiple Choice

Suppose a stock is currently trading for $35,and in one period it will either increase to $38 or decrease to $33.If the one-period risk-free rate is 6%,what is the price of a European call option that expires in one period and has an exercise price of $36?

A) $1.55
B) $0.80
C) $2.00
D) $1.63
E) $1.00