For a call option on a non-dividend paying stock, the strike price is $29, the stock price is $30, the risk-free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 3 months. What is the price of the call option?
a. $2.02
b. $2.35
c. $2.67
d. $2.89
e. None of the above.