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 strike price rises to RM54, determine the value of a call on shells's stock if the other inputs do not change. Assume no dividends.

a.

RM5.86

b.

RM6.30

c.

RM6.19

d.

RM6.42