You Own One Call Option with an Exercise Price of $30

Multiple Choice

You own one call option with an exercise price of $30 on Nadia stock.This stock is currently selling for $27.80 a share but is expected to increase to either $28 or $34 a share over the next year.The risk-free rate of return is 5 percent.What is the current per share value of your option if it expires in one year?

A) $.76
B) $.79
C) $.89
D) $.92
E) $.95