7) Suppose the exchange rate is $1.03/Fr. Let r_$ = 7%, r_Fr = 6%, u = 1.43, d = 0.71, and T = 2. Using a 2-step binomial tree, calculate the value of a $0.90-strike European call option on the Swiss franc.

Use: Table 1: Table of the Standard Normal Cumulative Distribution Function ?(z): https://math.ucalgary.ca/files/math/normal_cdf.pdf

a. $0.2614

b. $0.2437

c. $0.2803

d. $0.2534

e. $0.2717