The Common Stock of Delta Securities Is Selling for $62

The common stock of Delta Securities is selling for $62.60 a share. Treasury bills are currently yielding 5.2 percent. What is the current value of a one-year call option on Delta stock if the
Exercise price is $55 and you assume the option will finish in the money?

A) $7.22
B) $7.60
C) $9.81
D) $10.32
E) $10.86