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); • = 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 the above

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The Black-Scholes model calculates the call option price using the given parameters. With S0 = $70, X = $70, T = 70 days, r = 0.0001648 daily, and σ = 0.020506 daily, the calculated call option price is approximately $5.16.

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