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 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.

a. $6.80

b. $7.90

c. $7.25

d. $7.61