AMZN shares currently sell for 775. The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options, with a strike price of 780, maturing in 24 trading days, should be selling for an implied volatility of 21%. (Assume there are 252 trading days in a calendar year.)

Assuming N(d₁) =0 .4821, and N(d₂) =0 .4564, what is the price for a European call option according to the Black-Scholes Merton model?

Group of answer choices

c < 15.0

15.0 c < 16.0

16.0 c < 17.0

17.0 c < 18.0

c 18.0