The three$-$period binomial interest rate tree provided below gives one$-$period interest rates and prices of zero$-$coupon bonds. Starting at t $=0,$ you are provided with the one$-$period interest rate and prices of zero$-$coupon bonds with maturities of one period, two periods, three periods, and four periods. At t $=1,$ you are provided with the one$-$period interest rate and prices of zero$-$coupon bonds with maturities of one period, two periods, and three periods. At t $=2,$ you are provided with the one$-$period interest rate and prices of zero$-$coupon bonds with maturities of one period and two periods. At t $=3,$ you are provided with the one$-$period interest rate and prices of zero$-$coupon bonds with maturity of one period.

Calculate the value of a European call option on a four$-$period $8$ percent coupon bond with a $1\mathrm{.}0$ face value. The call option expires in two periods and has an exer cise price of $0\mathrm{.}95.$

A$.$

$0\mathrm{.}0722$

B$.$

$0\mathrm{.}0477$

C$.$

$0\mathrm{.}1062$

D$.$

$0\mathrm{.}0442$