Using a binomial tree, what is d when calculating the price of a $$40$ strike $6-$month European call option, using $3-$month intervals as the time period? Assume the following data: S $=$ $$36\mathrm{.}80,\backslash$delta $=0\%,$ r $=5\mathrm{.}0\%,\backslash$sigma $=0\mathrm{.}35.$

Question $23$ options:

$1\mathrm{.}206230$

$0\mathrm{.}850016$

$0\mathrm{.}765678$

$1\mathrm{.}485293$

$1\mathrm{.}336969$