Recalculate the value of the call option in Problem 11, successively substituting one of the changes below while keeping the other parameters as in Problem 11:

a. Time to expiration = 3 months.

b. Standard deviation = 25% per year.

c. Exercise price = $55.

d. Stock price = $55.

e. Interest rate = 5%.

Consider each scenario independently. Confirm that the option value changes in accordance with the prediction of Table 21.1.