The 3-Month Options on XYZ Stock Have a Strike Price

Multiple Choice

The 3-month options on XYZ stock have a strike price of $35 while the stock price is $43.The risk-free rate is 3.15 percent,the standard deviation is 27 percent,N(d₁) is 0.95060 and N(d₂) is 0.93520.What is the call price?

A) $4.14
B) $4.72
C) $8.40
D) $6.56
E) $5.64