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

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. If the risk-neutral probability of the stock going up is equal to 0.52, what is the price of a one-month call option at a strike price of $102?

A) $2.84
B) $3.14
C) $3.84
D) $4.14