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(24994) Using a binomial tree, what is the price of a $40 strike 6-month call option, using 3-month intervals as the time period? Assume the following data: S = $37.90, r = 5.0%, σ = 0.35
A. $2.50
B. $2.76
C. $2.92
D. $3.08

Q
: 47