Jessica Lazarus has just been named the new CEO of BluBell Fitness Centres Inc. In addition to an annual salary of $390,000, her three-year contract states that her compensation will include 11,600 at-the-money European call options on the companys stock that expire in three years. The current stock price is $52 per share, and the standard deviation of the returns on the firms stock is 75 percent. The company does not pay a dividend. Treasury bills that mature in three years yield a continuously compounded interest rate of 9 percent. Assume that Jessicas annual salary payments occur at the end of the year and that these cash flows should be discounted at a rate of 13 percent. Using the BlackScholes model to calculate the value of the stock options, what is the total value of the compensation package on the date the contract is signed?

a)

$421,607

b)

$333,539

c)	$1,254,389

d)

$920,850