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

Stock price = $55

Strike price = $52

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 strike price rises to $54, determine the value of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends.

a. $5.86

b. $6.30

c. $6.19

d. $6.42