Use the Following Information to Answer the Question(s)below

Multiple Choice

Use the following information to answer the question(s) below.
(Please use a copy of the Cumulative Probabilities for the standard normal distribution for these problems. )
Taggart Transcontinental's stock has a volatility of 25% and a current stock price of $40 per share.Taggart pays no dividends.The risk-free interest rate is 4%.
-Consider a one-year,at-the-money call option on Taggart stock.The effect on the price of this call option due to an increase in the volatility from 25% to 40% is closest to:

A) $0.70 increase.
B) $1.70 decrease.
C) $2.30 increase.
D) $2.80 increase.