Use the following data to value call options on the stock of AABC Corporation.(Hint:Toolkit 8-5 is useful in solving this question.)

Stock price $35.

Strike price of option $35.

Option matures in 6 months

Standard deviation of the stock's returns is 0.40, and the variance is 0.16.

Risk-free rate is 2%.

d1 = 0.175

d2 = 0.025

N(d1) = 0.56946

N(d2) = 0.49003

(select answerfrom options below)

a.) $2.87

b.) $2.95

c.) $3.27

d.) $3.3.7

e.) none of the above