The options on the stock of the sally 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 the price of a sally's call is RM6.41, determine the new implied standard deviation of returns without dividends.

a.

0.20

b.

0.35

c.

0.25

d.

0.40