A non-dividend paying stock has a current share price of $22. A two-year European call option with

Fantastic news! We've Found the answer you've been seeking!

Question:

A non-dividend paying stock has a current share price of $22. A two-year European call option with a strike price of $20 is written on the stock. The risk-free rate is 5% per annum compounded continuously. Which of the following call premiums is rationally priced in a no-arbitrage risk-neutral world?

Hint: Consider the price boundaries of a call option.