1.  A stock currently trades at $10. At the end of three months, the stock will either be $11 or $9. The continuously compounded risk-free rate of interest is 3.5% per year. The value of a 3-month European call option with a strike price of $10 is closest to:
  A. $0.11.
  B. $0.54.
  C. $0.65.
  D. $1.01.
  Answer: B