Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters:

T-bills yield:	4.0 pct.
Current stock price:	$44.00
No possibility stock will be worth less this amount in one year:	$42.00
Exercise Price:	$34.00

A) Value of call = $9.31, Intrinsic Value = $10.00

B) Value of call = $11.31, Intrinsic Value = $2.00

C) Value of call = $11.31, Intrinsic Value = $10.00