USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The current stock price of ABC Corporation is $53.50. ABC Corporation has the following put and call option prices that expire six months from today. The risk-free rate of return is 5 percent, and the expected return on the market is 11 percent.

-Refer to Exhibit 14.4. What should the price be of a call option that expires six months from today with an exercise price of $55?

A) $1.33
B) $3.08
C) $4.58
D) $6.07
E) $6.33