The current price of a stock is $22, and at the end of one year its price will be either $27 or $17. The annual risk-free rate is 6.0%, based on daily compounding. A 1-year call option on the stock, with an exercise price of $22, is available. What is the call options value given this additional information: d1 = 0.175 d2 = -0.025 N(d1) = 0.56946 N(d2) = 0.49003

a. $2.38 b. $3.12 c. $3.47 d. $3.82 e. $4.20