Question: Current Stock Price $ 42.00 Exercise Price $ 35.00 Time Until Expiration 6 Months Continuously Compounded Risk-Free Rate 3.50% Variance of Underlying Stock Returns 49.00%

Current Stock Price $ 42.00
Exercise Price $ 35.00
Time Until Expiration 6 Months
Continuously Compounded Risk-Free Rate 3.50%
Variance of Underlying Stock Returns 49.00%

Call option premium = ?

1.

$11.86
2.

$12.86
3.

$13.86
4.

$14.86
5.

None of Above

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