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The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European call option on the stock with a

The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European call option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 2% per annum with continuous compounding. What is the option price when u = 1.1 and d = 0.9?

$1.49

$1.37

$1.27

$1.17

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