Consider a 3-month European call option on a non-dividend paying stock. The option has a strike price of $26. The stock trades at $28 with a volatility of 30% p.a. The risk-free interest rate is 4% p.a. continuously compounded. If d1 = 0.63572 and d2 = 0.48572, what is the price of the call option according to the Black-Scholes-Merton model and what is the probability that the option will be exercised in a risk-neutral world? a. $0.72 and 34.45% b. $2.98 and 68.64% c. $2.98 and 73.75% d. $0.72 and 45.55%