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.

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d2 = 0.1530277 - (0.020506)(70)1/2 = -0.01853781; N(d1) = 0.5600; N(d2) = 0.4919; C = 0.5600($70) - $70[e^{-(0.0001648)(70)}]0.4919 = $5.16.

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