9.

Prof S is a finance professor and expert at Monte Carlo options pricing. He use MC options pricing to value the call option on a stock with 1-yr to option exercise, a stock price of $50, strike price of $50, risk-free rate of 5% and annualized volatility of 55% (and 0 dividends) to be worth $11.83. Assuming Prof S knows what he is doing and ran enough simulations the Black-Scholes price of the same call option is ______.

Group of answer choices

also $11.83.

a bit higher than $11.83.

a bit lower than $11.83.

unknown.