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
        
        
        
　　The value of the option today is therefore