A stock price is currently priced at $65 and after one year it can go up 30% or down 22%. The risk-free rate is 8% per annum with continuous compounding. The price of price of a one-year European call option with strike price of $70 is:

Select one:

a. $7.81

b. $7.65

c. $7.83

d. None of the answers provided is correct.