Recalculate the value of the call option in Problem 11, successively substituting one of the changes below while keeping the other parameters as in Problem 11:
a. Time to expiration = 3 months.
b. Standard deviation = 25% per year.
c. Exercise price = $55.
d. Stock price = $55.
e. Interest rate = 5%.
Consider each scenario independently. Confirm that the option value changes in accordance with the prediction ofTable.

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If This Variable Increases Stock price, S Exercise price, X Volatility, σ Time to expiration, T Interest rate, rf Dividend payouts The Value of a Call Option Increases Decreases Increases Increases Increases Decreases