Consider a one-period binomial model of 6 months. Assume the stock price is $45.00,

? = 0.20, r = 0.06 and the stock's expected return is 12.0%. What is the discount rate for a
$45.00 strike European call option (Y)?

A) 38.2%
B) 39.1%
C) 42.5%
D) 45.6%


B

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