What is the price of a European call option on a non-dividend-paying stock when the stock price is $50, the strike price is $47, the continuously compounded risk-free rate is 2% per annum, the standard deviation is 30% per annum, and the time to maturity is six months? (rounded to two decimal places)

a.

$6.04

b.

$3.00

c.

$3.31

d.

$2.57