A stock price is currently traded at $100. Over each of the next two six-month periods, it is expected to go up by 10% or down by 10%. The risk-free rate is 8% per annum with continuous compounding. Suppose that with this stock, European options are available. What is the price of a one-year European call option with a strike price of $100?

Select one: a. $9.61 b. $1.92 c. $14.21 d. $6.07