A Call Option Matures in Nine Months

A call option matures in nine months. The underlying stock price is $95, and the stock's return has a standard deviation of 19 percent per year. The risk-free rate is 3 percent per year, compounded continuously. The exercise price is $0. What is the price of the call option?

A) $15.97
B) $52.14
C) $56.37
D) $92.23
E) $95.00