What is the price of a European call option on a non-dividend-paying stock when the stock price is $99, the strike price is $101, the continuously compounded risk-free rate is 2% per annum, the standard deviation is 35% per annum, and the time to maturity is six months? (hint: use the BS model)

a.$9.31

b.$10.30

c.$8.38

d.$11.36