You Have Been Granted Stock Options on 200 Shares of Your

You have been granted stock options on 200 shares of your employer's stock. The stock is currently selling for $36.15 and has a standard deviation of 28 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 4.5 percent? Assume that no dividends are paid.

A) $12.95
B) $14.47
C) $16.68
D) $18.24
E) $20.01