Using the information below, calculate the risk-neutral probabilities. Then use them to price a two-year call option. The current price of Natasha Corporation stock is $ 4.45 $4.45. In each of the next two years, this stock price can either go up by $ 2.50 $2.50 or go down by $ 2.00 $2.00. The stock pays no dividends. The one-year risk-free interest rate is 3.5 % 3.5% and will remain constant. Using the Binomial Model, calculate the risk-neutral probabilities and use them to price the two-year call option with a strike price of $ 7.00 7.00. (Note: Make sure to round all intermediate calculations to at least five decimal places.) (Select the best choice below.) A. The probability of the higher price in year 1 is 0.4791 0.4791; the probability of the higher price in year 2 is 0.4635 0.4635; and the probability of the lower price in year 2 is 0.4985 0.4985. B. The probability of the higher price in year 1 is 0.4985 0.4985; the probability of the higher price in year 2 is 0.4791 0.4791; and the probability of the lower price in year 2 is 0.4635 0.4635. C. The probability of the higher price in year 1 is 0.4791 0.4791; the probability of the higher price in year 2 is 0.4985 0.4985; and the probability of the lower price in year 2 is 0.4635 0.4635. Your answer is correct. D. The probability of the higher price in year 1 is 0.4635 0.4635; the probability of the higher price in year 2 is 0.4985 0.4985; and the probability of the lower price in year 2 is 0.4791 0.4791. The price of the two-year call option is $ 0.55 0.55. (Round to the nearest cent.)