The price of a European put option on a stock with a strike price of $56 is $8. The stock price is $55, the continuously compounded risk-free rate (all maturities) is 2.5% and the time to maturity is one year. A dividend of $2.5 is expected in six months. What is the price of a one-year European call option on the stock with a strike price of $56?:

a.

$4.86

b.

$6.37

c.

$5.91

d.

None of the above is correct