You have been granted stock options on 300 shares of your employer's stock. The stock is currently selling for $37.80 and has a standard deviation of 30%. The option's strike price is $35 and the time to maturity is 10 years.

What is the value of each option given a risk-free rate of 3.0%? Assume that no dividends are paid.

The standard normal probabilities are:

N(-d1) = .19169

N(-d2)= 53068