PART III BLACK-SCHOLES OPTION PRICING MODEL \& THE GREEKS Consider a European option on a non-dividend paying stock where the current stock price is $30, the strike price is $30, the continuously compounded risk-free rate is 5% per year, the standard deviation is 25% per year and the time to maturity is 4 months. Assume that the Black-Scholes calculated price on this stock is $2.50. 20. The price of an American call on this stock would be about a. equal to the Black-Scholes option price of $2.50. b. slightly less than the Black-Scholes option price of $2.50 but difficult to determine exactly without an American pricing model c. slightly greater than the Black-Scholes option price of $2.50 but difficult to determine exactly without an American pricing model d. equal to the result from the Black-Scholes American pricing model e. unable to be determined