If the current stock price is $100, the risk-free rate of interest is 10% per...

We can use the put-call parity to estimate the value of the call option in this case.

The put-call parity can be expressed as:

Value of call - Value of put = Spot price - Exercise price discounted to the present

Substituting the values we know:

Value of call - $5 = $100 - $110/(1 + 10%); which implies the value of a call is also $5.

Choice 'a' is therefore the correct answer.

Note about interest rates: How do we know if the interest rate provided in the question is continuous or discrete? For short periods of time, the difference between discrete and continuous exchange rates tends to be not material. For ease of computation, use discrete rates (as above), and it should allow you to answer the question.