IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9.5 percent or down by 6.0 percent. The risk-free...

IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9.5 percent or down by −6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded. A call option with strike price 89 and maturity of 3 months has a delta of 0.82328. What is the value of this call option?

4.6908

2.7364

1.3894

5.1648

5.4648