USe the Following Data for a Single-Period Binomial Model to Answer

Multiple Choice

USe the following data for a single-period binomial model to answer the questions that follow.
YBM's stock price S is $102 today.
- After six months,the stock price can either go up to $115.63212672,or go down to $93.52995844.
- Options mature after T = 6 months and have an exercise price of K =$105.
- The continuously compounded risk-free interest rate r is 5 percent per year.
-Given the above data,suppose that a trader quotes a call price of $6.Then the arbitrage profit that you can make today by trading this call and related securities is:

A) $0
B) $0.25
C) $0.81
D) $1.22
E) None of these answers are correct.