Use two-state option pricing model to find the value of a, Financial Management

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Use two-state option pricing model to find the value of a

Answer must be A,B, or C to be correct. Please explain too.

Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters:

T-bills yield: 3.8 pct.

Current stock price: $25.00

No possibility stock will be worth less this amount in one year: $22.00

Exercise Price: $12.00

A) Value of call = $13.44, Intrinsic Value = $13.00

B) Value of call = $13.44, Intrinsic Value = $3.00

C) Value of call = $10.44, Intrinsic Value = $13.00

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