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An analyst gathers the following data for a stock: current price €26, gross return for an up move 1.10, and gross return for a down move 0.75. The exercise price for both call and put options is €22. Using a one-period binomial pricing model, which of the following options yields the highest payoff?
A
A put option after an upward price movement
B
A put option after a downward price movement
C
A call option after a downward price movement