13.

A call option on a non-dividend paying stock has a market price of $2.50. The stock price is $15, the exercise price is $13, the time to maturity is 3 months, and the risk free rate of interest is 5% per annum on a continuously compounded basis. The Black-Scholes-Merton Option Pricing Model value for the call, which is calculated using a value for volatility of 20%, is $2.60. Which of the following statements is true ? O a. The option's implied volatility is greater than 20% Ob. The option's implied volatility is less than 20% OC. The option's implied volatility is 20%