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)

Assume that Petronas Gas Berhad is paying dividends at the rate of 4 percent per year. Determine the price of a call.

a. $6.74

b. $6.03

c. $5.85

d. $6.35