Assume that you have an American call option expiring next year with exercise price of $40 on a stock which currently trades at $35. You expect the stock to increase by a factor of 1.18 and decrease by a factor of 0.75. If the interest rate is 6%, the option value today is closest to:

Select one:

a. $6.29

b. $8.73

c. $5.93

d. $8.23