Assume that the current price of DEY stock is $27.50, that a 6 month call option on the stock has a strike or exercise price of $25.50, the risk free rate is 4%, and that you have calculated

N(d1 ) as .5476 and N(d2) as .4432. Use the Black-Scholes model to calculate the price of the option.

A.

$4.20

B.

($2.50)

C.

$1.98

D.

$1.74