Using the Black-Scholes formula as presented in Chapter 13, what is the price of a European call option on a non-dividend-paying stock when the stock price is $78, the strike price is $75, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months?

a.

$7.59

b.

$5.06

c.

$4.83

d.

$2.06

e.

$6.96