Mike Was Granted Stock Options on 1,000 Shares of His

Multiple Choice

Mike was granted stock options on 1,000 shares of his employer's stock.The stock is currently selling for $27.70 a share and has a standard deviation of 36 percent.The option's strike price is $27.50 and the time to maturity is 10 years.What is the value of each option given a risk-free rate of 3 percent? Assume that no dividends are paid.

A) $14.35
B) $15.67
C) $17.80
D) $20.15
E) $22.70