You are considering the purchase of 100 units of a 3-month 25-strike European call option on stock.

You are given:

(i) The Black-Scholes framework holds.

(ii) The stock is currently selling for 20.

(iii) The stock’s volatility is 24%.

(iv) The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 3%.

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

Calculate the price of the block of 100 options.

(A) 0.04 

(B) 1.93 

(C) 3.63 

(D) 4.22 

(E) 5.09