Continued from previous question: Stock is currently priced at $39.50. The strike price is $42.50. The time period of the option is 1-year. The risk-free rate is 3% and the volatility of the stock is 18%. Stock doesn't pay any dividends.

In the BSM formula, what is the value of European Call Option (round to nearest cent)?

A.

$2.11

B.

$3.85

C.

$3.00

D.

$1.45

E.

$0.44