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 percent. 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 percent? Assume that no dividends are paid.

$12.95

$14.47

$16.68

$18.39

$20.01