Black-Holes Exchange Inc. reports the following information for call or put options on shares of common stock of Galaxy Corp.

Current market price of the stock is $60.

Exercise price (call or put) is $60.

Expiration date of the option (call or put) is three months from now.

T-bills rate is 5.7%.

The estimated annual standard deviation of the stock is 30%.

Based on this information the estimated current price of the call is _______ .

Select one:

a. $0

b. $2.00

c. $3.15

d. $4.00