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Stacks Underflow Ltd. stock has a volatility of 30% and a current stock price of $26 per share. Stacks Underflow Ltd. pays no dividends. The

  1. Stacks Underflow Ltd. stock has a volatility of 30% and a current stock price of $26 per share. Stacks Underflow Ltd. pays no dividends. The risk-free interest rate is 2%. The Black-Scholes value of a one-year, at-the-money call option on Stacks Underflow Ltd. stock is closest to:

    A.

    $3.33
    B.

    $9.50
    C.

    $4.75
    D.

    $1.45

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