Herbert Corporation is a non-dividend-paying stock that is currently priced at $82. An analyst has determined that the annual standard deviation of returns on Herbert stock is 31% and that the annual risk-free interest rate on a continuously compounded basis is 3.5%. What is the current value of an 18-month European call option on Herbert stock with a strike price of $96 using a two-step binomial model? Do not round intermediate calculations.

	A.	$8.1
	B.	$12.4
	C.	$9.8
	D.	$7.7