Assume the Black-Scholes framework.

Eight months ago, an investor borrowed money at the risk-free interest rate to purchase a one-year 75-strike European call option on a nondividend-paying stock. At that time, the price of the call option was 8.

Today, the stock price is 85. The investor decides to close out all positions.

You are given:

(i) The continuously compounded risk-free interest rate is 5%.

(ii) The stock’s volatility is 26%.

Calculate the eight-month holding profit.

(A) 4.06

(B) 4.20

(C) 4.27

(D) 4.33

(E) 4.47