The options on the stock of the Shell 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 shell's stock if the other inputs do not change. Assume no dividends.

a.

RM7.90

b.

RM7.25

c.

RM7.61

d.

RM6.80