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The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = RM55 Strike price = RM52 Risk-free rate

The options on the stock of the Petronas Gas Berhad have the following input values:

 Stock price = RM55

Strike price = RM52

Risk-free rate = 0.10

Standard deviation = 0.33 

Time to maturity = 0.4

 (Assume that no dividends are currently being paid and use BSOPM model)

If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends.

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