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 12% per annum. Calculate the value of a six-month European call option on the stock with an exercise price of $48.

Question 4 options:

A)

$9.61

B)

$8.25

C)

$3.45

D)

$6.96