For the Same Problem in the Preceding Two Questions, Find

Multiple Choice

For the same problem in the preceding two questions, find the state price at the middle node after two periods, given that the 117.3008--strike call is priced at $4 and the 85.2509--strike put is priced at $4, both options of two-months maturity. Assume that the middle node after two periods has the same stock price as the initial stock price.

A) 0.5016
B) 0.5023
C) 0.5044
D) 0.5117