$11.$ The stock price is currently $$60.$ It is known that at the end of $3$ months it will be either $$66$ or $$54.$

The risk$-$free interest rate is $6\mathrm{.}0\%$ per annum with continuous compounding.

What is the value of a $3-$month European call option with a strike price of $$58?$

Formula: c $=$ e$-$rt $[$p x CU $+(1$ p$)$ x CD$]$

p $=($ert $-$ d$)-$: $($ u $$ d$)$

u $=$ SU $-$: S$0$

d $=$ SD $-$: S$0$