Using a binomial tree, when calculating the price of a $$40$ strike $6-$month European call option, using $3-$month intervals as the time period, what is the European call option value at maturity $($at the end of period $2)$ if the stock price goes up and then down $($or down and then up$)?$ Assume the following data: S $=$ $$36\mathrm{.}80,\backslash$delta $=0\%,$ r $=5\mathrm{.}0\%,\backslash$sigma $=0\mathrm{.}35.$

Question $24$ options:

$$0$

$$0\mathrm{.}7050$

$$12\mathrm{.}2342$

$$17\mathrm{.}7632$

$$1\mathrm{.}8250$