Consider a European call option on a non-dividend paying stock where

the strike price is $40. Assume the stock price moves according to a multiplicative

binomial tree with u = 1.1 and d = 0.85. The risk-free rate is 4% per annum and

the time to maturity is six months. What current value of the stock would make the

current value of the option equal to $5, if it were priced with a one-period tree?