Suppose that a stock price is currently 52 dollars, and it is known that three months from now, the price will be either 17 percent higher or 17 percent lower. Suppose that the value of a European call option on the stock that expires three months from now, and has a strike price of 54 dollars, is 3.664 dollars. If no arbitrage opportunities exist, what is the risk-free interest rate?
Answer = percent.