What is the price of a three-year European call option on a stock which is currently priced at $225, the exercise price is $200, the continuous risk-free rate is 5.25%, the volatility is 15% per annum, and the stock pays a dividend of $20.78 at the end of year one.

Select one:

a.

None of the answers provided is correct

b.

$60.15

c.

$41.28

d.

$57.92