Consider a call option on a stock. The stock's current price is $30 and the strike price is $32. The option expires in 6 months. The annual risk-free rate is 6%. At expiration the stock will either go up to $36 or down to $24. The up factor is 1.2 and the down factor is .80. Calculate the value of the option. (Hint: Toolkit, worksheet 8-3 may be helpful in solving.)

$2.12

$2.24

$3.18

$4.45

None of the above