Stock XYZ has the following characteristics:

• The current price is 40.

• The price of a 35-strike 1-year European call option is 9.12.

• The price of a 40-strike 1-year European call option is 6.22.

• The price of a 45-strike 1-year European call option is 4.08.

The annual effective risk-free interest rate is 8%.

Let S be the price of the stock one year from now.

All call positions being compared are long.

Determine the range for S such that the 45-strike call produces a higher profit than the 40-strike call, but a lower profit than the 35-strike call.

(A) S < 38:13 

(B) 38.13 < S < 40.44 

(C) 40.44 < S < 42.31 

(D) S > 42:31 

(E) The range is empty