You Have Been Granted Stock Options on 300 Shares of Your

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.

A) $12.95
B) $14.47
C) $16.68
D) $18.39
E) $20.01