You observe a 50 stock price for a non-dividend paying stock. The call has two years to mature, the periodically compounded risk-free interest rate is 5%, the exercise price is 50, u = 1.356, d = 0.744. Assume the call option is European-style.

The current value of the call option is closest to:

a) 9.53

b) 9.71

c) 9.87