A Stock with a Current Price of $38 Will Either

A stock with a current price of $38 will either move up to $45.00 or down to $35 over the next period. The risk-free rate of interest is 3 percent. What is the value of a call option with a strike price of $40?

A) $1.30
B) $1.55
C) $1.87
D) $2.09
E) $2.41