USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
A stock currently trades for $130 per share. Options on the stock are available with a strike price of $125. The options expire in 10 days. The risk-free rate is 3 three over this time period, and the expected volatility is 0.35.
-Refer to Exhibit 16.3. Use the Black-Scholes option pricing model to calculate the price of a call option.

A) $5.19
B) $4.35
C) $3.93
D) $6.19
E) $8.17

Correct Answer:

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