An at the money European call option has 3 months until expiration and a strike of $60. You believe that the stock has an equal likelihood of going up to $70 or down to $50 in that time and that no other value is possible. Given that the risk-free rate is 4% EAR, what is the Binomial model estimated price of this option? [Hint: This may be quicker to solve with risk-neutral probabilities]

$0

$4.95

$5.00

$5.24

$9.90