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A call option has a strike price of X = $100 and a time to expiration of 9 months. The risk free rate is r

  1. A call option has a strike price of X = $100 and a time to expiration of 9 months. The risk free rate is r = 2.5% and the volatility is sigma = .15. If S = 102.50, then the intrinsic value of the call option is

    a.

    -$2.50
    b.

    $2.50
    c.

    $0.00
    d.

    $0.15
    e.

    $97.50

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