Suppose that we wish to value a call with a strike price of $32.50 on a stock that is currently selling for $35, when the call has nine months until expiration, the current nominal annual continuously compounded interest rate is 4 percent, and the standard deviation in returns of the underlying stock is 47 percent.

What will be the value of the call?

a. $2.37

b. $3.87

c. $4.27

d. $7.27