What Is the Value of a Call Given the Black-Scholes

Multiple Choice

What is the value of a call given the Black-Scholes model and the following information? Stock price = $44,Exercise price = $40,Time to expiration = .75,Risk-free rate = 4.5%,Standard deviation = 25%,N(d₁) = .759395,and N(d₂) = .687172.

A) $2.03
B) $4.86
C) $6.84
D) $8.81
E) $9.27