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 an investment of a dollar at the risk-free rate returns $1.001668 after one month, what is the expected gross return of a 100-strike one-month call option under the risk-neutral probabilities?

A) 1.0010
B) 1.0017
C) 1.0100
D) 1.0167