The Black-Scholes option pricing model (OPM) was developed in 1973. The creation of the Black-Scholes OPM played a significant role in the rapid growth of options trading Under the assumptions used by Fischer Black and Myron Scholes to derive the Black-Scholes model, if the option price is the price found using the Black-Scholes model, arbitrage opportunities will exist According to the Black-Scholes Option Pricing Model, as the time to expiration, t, increases, the value of the call option Big Walnut Nut Company has a current stock price of $20.00. A call option on this stock has an exercise price of $20.00 and 0.36 year to maturity. The variance of the stock price is 0.04, and the risk-free rate is 5%. You calculate d1 to be 0.21 and N(0.21) to be 0.5832. Therefore, d2 will be 0.09 and N(0.09) wil be 0.5359. Using the Black- Scholes Option Pricing Model, what is the value of the option? (Note: Use 2.7183 as the approximate value of e.) O $1.080 O $0.853 O $1.137 O $%1.023