Ima Greedy, the CFO of Financial Saving Techniques Has Been

Multiple Choice

Ima Greedy, the CFO of Financial Saving Techniques has been granted options on 200,000 shares. The equity is currently trading at £22 a share and the options are at the money.The volatility of the
Equity has been about .20 on an annual basis over the last several years.The option mature in 3
Years and the risk free rate is 4%.
What is the value of a call option?

A) £4.14
B) £4.86
C) £7.57
D) £5.62
E) £6.16