2. JTE Corporation is a non-dividend-paying stock that is currently priced at $49.
An analyst has determined that the annual standard deviation of returns on JTE
stock is 8% and that the annual risk-free interest rate on a continuously
compounded basis is 5.5%. Calculate the value of a 6-month American call
option on JTE stock with a strike price of $50 using a two-period binomial model.
A. $0.32
B. $0.65
C. $1.31
D. $2.97

答案说选B  我算出来不对呢