Use the Black-Scholes Option Pricing Model for the Following Problem

Multiple Choice

Use the Black-Scholes option pricing model for the following problem.Given: S_O = $70; X = $70; T = 70 days; r = 0.06 annually (0.0001648 daily) ; σ = 0.020506 (daily) .No dividends will be paid before option expires.The value of the call option is

A) $10.16.
B) $5.16.
C) $0.00.
D) $2.16.