Consider a binomial world in which the current stock price of 80 can either go up by 10 percent or down by 8 percent. The risk-free rate is 4.0 percent. Assume a two-period world and a call with an exercise price of 80. What is the current value of the call?

Select one:

a.

8.00

b.

7.30

c.

11.13

d.

0.619

e.

none of the choices