Calculate the Price of a Call Option Using the Black

Multiple Choice

Calculate the price of a call option using the Black Scholes model and the following data: stock price = $47.30, exercise price = $50, time to expiration = 85 days, risk-free rate = 3%, standard deviation = 35%.

A) $1.11
B) $2.22
C) $3.33
D) $4.44