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Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $26.50 and has an expected volatility

Lissa Co.'s stock price is currently $30.25. A 6-month call option on Lissa's stock has a strike price of $26.50 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option? Do not round your intermediate calculations. (2 points)

a.

$5.62

b.

$4.85

c.

$5.14

d.

$5.91

e.

$5.26

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