24.6. [2-S03:40) You are interested in purchasing a call option on a nondividend paying common stock that is currently trading at a price of 122 per share. You are given the following information: (1) The standard deviation of the continuously compounded annual rate of return on the stock is 0.2. (ii) The time to maturity of the call is 1 year. (iii) In Current Share Price Present Value of the Exercise Price = 0.2 Calculate the price of a call option using Black-Scholes. (A) 13 (B) 15 (C) 19 (D) 21 (E) 24 24.6. [2-S03:40) You are interested in purchasing a call option on a nondividend paying common stock that is currently trading at a price of 122 per share. You are given the following information: (1) The standard deviation of the continuously compounded annual rate of return on the stock is 0.2. (ii) The time to maturity of the call is 1 year. (iii) In Current Share Price Present Value of the Exercise Price = 0.2 Calculate the price of a call option using Black-Scholes. (A) 13 (B) 15 (C) 19 (D) 21 (E) 24