Let S = $54, s = 22%, r = 6%, and d = 3% (continuously compounded). Compute the Black-Scholes rho (r) of a $60-strike European call option with 3 months until expiration. (That is, compute the approximate change in the call price given a 1 percentage point increase in the risk-free interest rate.)

	a.	0.1223
	b.	0.0255
	c.	0.1532
	d.	0.1069
	e.	0.0271