A Stock Is Currently Priced at $38

Multiple Choice

A stock is currently priced at $38. A call option with an expiration of one year has an exercise price of $40. The risk-free rate is 4.2 percent per year, compounded continuously, and the standard deviation of the stock's return is infinitely large. What is the price of the call option?

A) $2.47
B) $34.80
C) $38.00
D) $5.63
E) $40.00