Use the Black-Scholes Option Pricing Model for the following problem.Given: S_O= $70;X = $70;T = 70 days;r = 0.06 annually (0.0001648 daily);σ = 0.020506 (daily).No dividends will be paid before option expires.The value of the call option is A) $10.16. B) $5.16. C) $0.00. D) $2.16. E) none of these.

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The Answer of Use the Black-Scholes Option Pricing Model for the following problem.Given: S_O= $70;X = $70;T = 70 days;r = 0.06 annually (0.0001648 daily);σ = 0.020506 (daily).No dividends will be paid before option expires.The value of the call option is A) $10.16. B) $5.16. C) $0.00. D) $2.16. E) none of these.

Use the Black-Scholes Option Pricing Model for the Following Problem