Suppose that we are trying to value a three-period call option on a stock that will either go up by 7 percent or down by 4 percent per period, that the exercise price of the option is $35, that the current stock price is only $35 per share, and that the going risk-free rate is 4 percent per period. Use the binomial option pricing model to answer the following questions:

What will be S_T,udu?

a. $30.97

b. $34.51

c. $38.47

d. $42.88