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On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2%

On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2% annually (with compound interest). By using the Black Scholes model, calculate the market purchase rights in the index with exercising price 820 and maturity 1 month (30 days). N (d1) = 0.418 and N(d2) = 0.383. Calculate and choose one of the following:

a. 17.1

b. 13.1

c. 21.1

d. 25.1

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