Question: In a one-period binomial model, assume that the current stock price is $100 and that it will rise by 10% with a probability of 45%

In a one-period binomial model, assume that the current stock price is $100 and that it will rise by 10% with a probability of 45% or fall by 15% with a probability of 55% after one month. The annual risk-free rate of 2%. The call option price with an exercise price of $102 is equal to:

$8.60

$6.25

$5.33

$8.57

$5.88

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