A Stock with a Current Price of $40 Will Either

A stock with a current price of $40 will either move up to $41 or down to $39 over the next period.The risk-free rate of interest is 2.45 percent.What is the value of a call option with a strike price of $40?

A) $0.49
B) $0.68
C) $0.86
D) $0.97
E) $1.21