The Current Price of a Stock Is $22, and at the End

Multiple Choice

The current price of a stock is $22, and at the end of one year its price will be either $27 or $17. The annual risk-free rate is 6.0%, based on daily compounding. A 1-year call option on the stock, with an exercise price of $22, is available. Based on the binominal model, what is the option's value?

A) $2.43
B) $2.70
C) $2.99
D) $3.29
E) $3.62