A stock price is currently S=50. It is known that at the end of three months it will be either uS=60 or dS=40. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a three-month European Call option with a strike price of K = 48?

Select one:

a.

8.10

b.

9.00

c.

9.90

d.

6.30

e.

7.20