The Current Price of a Non-Dividend-Paying Stock Is $30

Multiple Choice

The current price of a non-dividend-paying stock is $30.Over the next six months it is expected to rise to $36 or fall to $26.Assume the risk-free rate is zero.An investor sells call options with a strike price of $32.What is the value of each call option?

A) $1.6
B) $2.0
C) $2.4
D) $3.0