Cheryl Levin is the chief executive officer of Mountainbrook Trading Company. The

board of directors has just granted Cheryl $10,000$ at$-$the$-$money European call options on

the company's stock, which is currently trading at $$125$ per share. The stock pays no

dividends. The options will expire in five years and the standard deviation of the returns

on the stock is $56$ percent. Treasury bills that mature in five years currently yield a

continuously compounded interest rate of $5$ percent. Use the Black$-$Scholes model to

calculate the value of the stock options. $($Do not round intermediate calculations and

round your answer to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

Value of option grant