In a one-period binomial model, assume that the current stock price is $100 and that it will rise by 10% with a probability of 45% or fall by 15% with a probability of 55% after one month. The annual risk-free rate of 2%. The call option price with an exercise price of $102 is equal to:

a.

$8.60

b.

$6.25

c.

$5.33

d.

$8.57

e.

$5.88