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) ; • = 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
E) none of the above