You Currently Own a One-Year Call Option on Caspian Way

Multiple Choice

You currently own a one-year call option on Caspian Way stock. The current stock price is $38.70 and the risk-free rate of return is 3.85 percent. Your option has a strike price of $37.50 and you assume the option will finish in the money. What is the current value of your call option?

A) $1.20
B) $2.59
C) $3.07
D) $5.13
E) $7.27