The current price of a non-dividend-paying stock is $30, with a return volatility of 20% per annum. A call option written on the stock matures in one year. The strike price is $32. The risk-free rate is 8%. What will the option be worth in a two-step binomial model? a. 4.90 O b. 0.00 C. 10 d. 2.67 e. 3.00 Your answer is incorrect. The correct answer is: 2.67 The current price of a non-dividend-paying stock is $30, with a return volatility of 20% per annum. A call option written on the stock matures in one year. The strike price is $32. The risk-free rate is 8%. What will the option be worth in a two-step binomial model? a. 4.90 O b. 0.00 C. 10 d. 2.67 e. 3.00 Your answer is incorrect. The correct answer is: 2.67