First, determine the risk-neutral probability $p$ of an upward movement: $u = \frac{110}{100} = 1.1$, $d = \frac{90}{100} = 0.9$ $p = \frac{e^{rt} - d}{u - d} = \frac{e^{0.06 \times 1} - 0.9}{1.1 - 0.9} = \frac{1.0618 - 0.9}{0.2} = 0.809$

The expected value of the option at maturity is: $E[C] = p \times C_u + (1-p) \times C_d = 0.809 \times 10 + 0.191 \times 0 = 8.09 \text{ million.}$

The present value of the option is discounted at the risk-free rate: $PV = E[C] \times e^{-rt} = 8.09 \times e^{-0.06} = 8.09 \times 0.9418 = 7.62 \text{ million.}$