Suppose the stock price follows a geometric Brownian motion with initial price S₀=28, expected return =0.10, volatility =0.80. The risk-free rate is r=0.02. What is the price of a binary option with a maturity of two years that pays $100 if the stock price at maturity S_T < 30?

a.

72.3

b.

69.5

c.

26.6

d.

55.2

e.

32.6