A Stock with a Current Price of $38 Will Either

A stock with a current price of $38 will either move up by a factor of 1.10 or down by a factor of .90 each period over the next two periods. The risk-free rate of interest is 4 percent. What is the current value of a call option with a strike price of $40?

A) $2.36
B) $2.52
C) $2.71
D) $3.09
E) $3.13