Use the Black-Scholes Option Pricing Model for the Following Problem

question 22

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) ; σ = 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.

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