A call option on a non-dividend paying stock has a market price of $5.00.

The stock price is $30, the exercise price is $26, the time to maturity is 6 months, and the risk free rate of interest is 6% 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 14%, is $4.80.

Which of the following statements is true ?

a.

The options implied volatility is greater than 14%

b.

The options implied volatility is less than 14%

c.

The options implied volatility is 14%

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