The common stock of the C.A.L.L. corporation has been trading in a narrow range around $100 per share for months, and you believe it is goung to stay in that range for the next six months. The price of a six month put option with an exercise of $100 is $6. If the risk free interest rate is 8% per year, what must be the price of 6-month call option on C.A.L.L. stock at an exercise price of $100 if it is at the money?

options

a) $8.77

b) $9.77

c) $10.99

d) $11.11