A stock currently has a price of 45.00 and pays no dividends. One year from now, there is a 50% (risk-neutral) probability that the price of the stock will be 30.00 and 50% that it will be greater...

Extracted text: A stock currently has a price of 45.00 and pays no dividends. One year from now, there is a 50% (risk-neutral) probability that the price of the stock will be 30.00 and 50% that it will be greater than 40.00. The risk-free rate is 4%. Calculate the price of a one-year European call option with an exercise price of 40.00. Possible Answer A 4.81 B 6.35 9.81 D 10.00 E 1135