A stock price is currently $50. It is known that at the end of six months it will be either $60 or $42. The risk free rate of interest with continuous compounding is 8% per annum. calculate the value of a six month european call option on the stock with an exercise price of $52.

a. the call is out of the money and therefore it is worthless

b.5.33

c.9.71

d. 6.96