You Have Been Granted Stock Options on 300 Shares of Your

Multiple Choice

You have been granted stock options on 300 shares of your employer's stock. The stock is currently selling for $37.80 and has a standard deviation of 30%. The option's strike price is $35 and the time to maturity is 10 years. What is the value of each option given a risk-free rate of 3.0%? Assume that no dividends are paid.

A) $12.95
B) $14.47
C) $16.68
D) $18.39
E) $20.01